Michelle Dockery Talks Life After Downton Abbey and Her Fiery New Role

She rose to fame as Lady Mary on Downton Abbey—now Good Behavior star Michelle Dockery is breaking out of the manor.

If Michelle Dockery ever gives up acting, she can spend her days doing endorsements for Great Britain. She arrives at my London hotel room wearing a Burberry trenchcoat and Topshop jeans and carrying a ladylike Aspinal of London bag that she designed. (More on that later.) She then proceeds to pour the perfect cup of tea. "Oh, I love a regular cup of builder's tea," she says, sounding as close to a construction worker as she will ever get, as she flips an exotic strainer just so. "I never came across this one in my Downton Abbey days. And we poured a lot of tea."

Since last March's final episode of Downton Abbey—the most successful British period drama in history—a lot has happened to Michelle Dockery. In a swift about-face from her beloved character, Lady Mary Crawley, she signed on to play con artist Letty Dobesh in the TNT series Good Behavior. "I was in from the get-go," she says. "The first page of the script has her working in a burger joint, stealing a wallet from a guy who's trying to molest her. I was like, 'I am playing this role.' "

Dockery wasn't looking to shock Downton fans; it just happened. "Sometimes I'll be up for a role and there's feedback that they can't quite see me as another character than Lady Mary. But not this show—it just came along so fast. I wasn't expecting it."

And so it happened that the role, which Dockery started filming in Wilmington, N.C., in October 2015, would provide a much-needed escape. Two months later, she lost her fiancé, Irish PR executive John Dineen, to cancer. They had been together for two years, and he was just 34. Dockery won't talk about the loss—adding a subtle reminder that she is not, in fact, obliged to.

She coped by throwing herself into Good Behavior, with her sister Louise coming to spend time with her in Wilmington. "Yeah, it was a great change," she says of her relocation. "First thing I did when I got there was go to the beach."

Dockery looks different too—her hair is longer and lighter, while a smattering of light freckles covers her face. "I like it," she says of her warmer hue. "And I just wear a lot of sunscreen!" She's enjoyed a break from the relentlessness of London celebrity. "I'm 35," she says. "I'm getting to the point where I just kind of like ... ease."

Recently, Dockery got her driver's license as well—at long last. "I felt embarrassed that I didn't have one for so long," she laughs. "But Letty has to drive. So I had no choice."

When she wasn't shooting—a challenging exercise, given she was in almost every scene—the grieving Dockery took care of herself. "Protein in my smoothies, staying healthy as much as I could. And alcohol's not always the best thing when you're working that much," she says. "Not like on Downton."

Ah, Downton. Dockery's affection for the series that changed her life is palpable. "I miss those guys. I miss them so much. All those weekdays where we'd all end up back at the hotel with a bottle of wine." There's talk of a movie, and Dockery is all for it. "Everyone is waiting for the go-ahead," she says. "It's proving difficult to get 18 actors all available." If wrangling gets hard, why not just knock a few off in a car crash? "Yeah," she laughs. "If no one wants to do it, we'll just throw that into the storyline. Matthew's car."

She's curious about what period a possible Downton movie would jump to. "There's the General Strike in 1926, which is the next year. So ... spoiler alert! Or there could be a bit of a time jump." Ooh, could Downton jump right into the new right royal hit, The Crown? Dockery imagines the scenario: "Ooh yes, I could meet up with Claire Foy. Lady Mary goes to see her friend." She slips into Mary's immaculate accent. " 'I'm going in to see Elizabeth. We've become acquainted recently.' "

Dockery, of course, has her own posse of actor mates. Beyond the Downton cast—particularly Laura Carmichael and Allen Leech—there's Lupita Nyong'o, her co-star in the 2013 thriller Non-Stop, and Gwendoline Christie from Game of Thrones.

"She has all these expressions," Dockery says. "She calls it Nest of Tables. She's brilliant."

One thing to know about Dockery: She is rather a fantastic dancer and DJ. She has a playlist named "DJ Dockers" that she pulls out on worthy occasions, like when she was shooting the new "feminist western" series Godless last year in New Mexico. The show is set in a curious town called La Belle, where all the residents are women. "There's a saloon and everything!" Dockery says. Off set, the girls just got down. "We'd have these dance parties and I'd DJ." On her extensive playlist: "Juicy," by Notorious B.I.G.; "Love Like This," by Faith Evans; "Sorry," by Justin Bieber; and "Drop It Like It's Hot," by Snoop.

So if work is a curative, Dockery's prognosis is excellent. She's enjoying her return to London. "I've been hibernating a bit since I've been back." She is also delving further into her collaboration with storied British label Aspinal of London. She cracks open the Dockery, a classic black croc doctor's bag, which comes in a rainbow of colors. "It's based on a bag that my grandmother had, because I loved the way it opened. I love wearing bags like this." Alongside the Dockery, there's the Dockery Snap, which is not a dance move but a close cousin to the original, and a line of vintage style scarves featuring animals in dreamlike woodland scenes. Lady Mary would be very impressed.

In the near future, Godless and The Sense of an Ending—a relationship drama out in March, co-starring Jim Broadbent—can only mean more red-carpet twirling, and Dockery is more than game. A recent favorite: "I just loved the Oscar de la Renta dress I wore for the Emmys," she says. "That dress was so beautiful." On Instagram is a clip of a gleaming Dockery, in said silvery gown, getting down to "Juicy" in the back of her limo. "It's so funny, the things that go on behind the scenes," she notes. "There's a whole array of different Spanx you can wear. You know those Spanx that have butt pads in them to make your bum look more curvy? I put them on the other way once, just for a laugh."

That's the thing about Dockery: She's kind of unsinkable. Whether it's her British unflappability or her love of her work, she keeps calm and carries on. She wears her celebrity—overwhelming as it can be, especially in grief—as elegantly as Lady Mary's gloves. "What I've learned to do is to have as much fun with it all as possible," she explains. "I've traveled, I've seen and met extraordinary people and been to amazing places. Things I never dreamed I would experience in my life."

But when it comes to her personal life, Dockery will never be "Access all areas." "It's important for me personally that I keep a little bit held back. Well ... a lot, in many ways." She smiles and pours another cup of tea.

For more stories like this, pick up InStyle's March issue, on newsstands and available for digital download Feb. 10.

Photographer: Phil Poynter, Poynter/Serlin Associates; hair: Daniel Martin/Bryant Artists; makeup: Andrew Gallimore/CLM; fashion editor: Columbine Smille/Lundlund; manicure: Ama Quashie/CLM; production: Rosco Production; location: The Beaumont Hotel, London.