"There's a psychological aspect in all of his films that I've seen, so when told he was making the story of Freud and Jung I thought it made complete sense," she says. "The film is also typical in the way that it's shocking."
Initially Knightley baulked at the risque scenes and thought she would have to turn the film down.
"When I first read it I loved the script and really wanted to play the character, but I didn't want to do those scenes. I phoned David Cronenberg and said I was going to have to turn the role down," she says. "He said he really wanted me to play the part, so he would take the scenes out but I said, 'whoa!' because I knew they were incredibly important to the story.
"He said he didn't want the scenes to be sexy or voyeuristic; he wanted them to be clinical and a complete exploration of what she was feeling. So we kind of came to an agreement ... I wanted it to be as shocking as possible without going over-the-top.
"I did actually say to Michael before one of the scenes - I was like, 'I've got a security guard outside. You touch me and he's gonna break your legs!' And he was like, 'Keira, you're tied to a bed. You're not really in a position to say that'. I said, 'I guess you're right'."
Both actors had "a couple of shots of vodka" before the scene and toasted their efforts after with a couple of glasses of champagne "as a celebration of never having to do that again".
The discomfort of playing Spielrein didn't stop there though. She had to portray the facial contortions of Spielrein's chronic fits.
"I think very often there is a trap when you play crazy, whatever that means, because as much as she knew that she was ill, there was also complete logic to the way she was thinking. So for me it was very important to find that logic and the reasons that she behaved the way she did when she was in those fits."
But for Cronenberg, the star of his movie is Freud, as played by Viggo Mortensen, a Cronenberg regular after A History of Violence and Eastern Promises.
"When you do a biography, you try to bring these people back to life; you want to see and hear Freud and Jung and Sabina in their intimate moments," explains Cronenberg.
"I'd love to talk to Freud, I'd like to sit and have a cigar with him. But we can't do that so the next best thing is to try to resurrect them and to cast actors who sort of look like them. We gave Viggo brown contact lenses and a false nose. The change is very subtle but the key is to get wonderful actors, basically."
Meanwhile, the ever-versatile Fassbender was just as happy to be buttoned-up as Jung as he was doing full frontal nudity as a sex addict in Shame.
"The problem was I had to convince the audience I was intelligent," jokes the self-deprecating Irishman, whose father is German and is well aware of the film's cultural references.
"I think the Jung that I was trying to play at that point was someone who was very ambitious. Jung was very correct but very self-assured."
Lowdown
What: A Dangerous Method, David Cronenberg's movie about Sigmund Freud and Carl Jung starring Michael Fassbender, Viggo Mortensen and Keira Knightley.
When: Opens April 26
-Timeout
