As the season opens, Dockery's character is facing her impending nuptials to her distant cousin Matthew Crawley, played by Dan Stevens. However, after finally agreeing to marry him, a series of twists threaten their big day.
"Matthew and Mary do come up against a number of issues, so them getting married is not as straightforward as one would suspect," she laughs.
"But it was never going to be plain sailing, from what's happened to them in the past. So, we keep that up because that's what's always been so interesting about those characters."
The arrival of Lady Mary's American grandmother - played by Shirley MacLaine - is also helping shake things up at the big house.
"We had such a great time with Shirley. We laughed the whole time she was there, because she's so funny," says Dockery. "Her character, Martha, is like a whirlwind, that comes in with all this energy and new views, traditions and manners which really shakes up the house. It's because the Americans have moved on so much more, socially, than the British, especially the aristocracy. You can see that with Carson and Lord Grantham, who are desperately clinging to old traditions even though conventions are changing and starting to ease up a bit."
Similarly, the unexpected return of a pregnant Lady Sybil (Jessica Brown Findlay) for the wedding - after eloping to Dublin with chauffeur Tom Branson (Allen Leech) - fuels further fiery exchanges, with debates about Irish independence and the role of the aristocracy.
"It's great to see - and play - a young couple from such vastly different social classes, who somehow stick together by making tough decisions and compromises," says Brown Findlay. "I think they really are the face of the future, while their baby is a symbol of the changes taking place, both for them personally and in terms of society."
With both her sisters now betrothed, Lady Edith - played by Laura Carmichael - is determined not to be left stuck on the shelf. She's increasingly determined to snare the older Sir Anthony, in a most unladylike fashion.
"She's a very smart, modern-thinking woman with an amazing, forthright quality," says Carmichael. "There's no holding back; there's none of this 'will-we-won't-we, Sybil and Branson, sitting around for two years, talking about whether they want to get together' malarkey.
"Instead, with the others marrying off, she realises that she needs to form a life for herself so decides what she wants, goes for it and snogs a married man.
"I think the second series opened her up to that, because in the war she had to find a role for herself - she wanted to be useful - so she learnt to drive, got a job at the farm and helped at a hospital. That's completely changed her horizons and she's got this new confidence, which she's not going to let go."
And a big percentage of the television world - this most British of shows now airs in more than 100 different countries - will be right there to see her get her man, or not. That recognition has been an eye-opener for Carmichael.
"Honestly, I really never expected anything like this to happen, especially as this was my first TV role. It really could have been tiny and watched by just my mum and a few other people," she says. "But the fact that it's gone global and everyone's enjoying it is really incredible. It's also very satisfying, for us, that what we're enjoying making, people are enjoying watching. As an actor, you can't ask for more that that really."
Though if you're not a Crawley, there is always the risk that your character might not survive until next season - playing the man who ran off to Ireland with Lady Sybil made Leech think he might have done his dash.
"I really thought that the first episode would open with a letter from Lady Sybil to Lord Grantham saying, 'My husband has been shot in the head.' I'm not joking. I really did think that."
What: Downton Abbey's third season.
When and where: Prime, 8.30pm from October 18.
- TimeOut
