Still, many fans revelled in the High Sparrow's violent death at the end of the sixth season when the Great Sept was set alight with unforgiving wildfire.
But Pryce saw him very differently.
"I saw him as the saviour of that society," he said. "He was the ultimate socialist. He works for the poor, he washed people's feet, he didn't go so far as healing the sick but he was a socialist."
Like many actors, Pryce won't judge his character's relative villainy, choosing to let the audience decide and judge if someone is a black hat or white had, or the many shades of grey in between.
"I don't make a judgment about what they do, whether it's good or bad. What you don't want to do is comment on the character while you're being them, or give too many suggestions that he's a bad guy. I believe in the moment, in what the character is saying because he believes it's the right thing to say."
Of course, the High Sparrow isn't the only iconic villain Pryce has played over the years – the Welsh actor also had the good fortune of being a Bond villain, as Elliot Carver in the Pierce Brosnan-starring Tomorrow Never Dies.
"The idea of being a Bond villain wasn't something I was working towards but the film appealed to me on a political level and then you get all the trappings and fun of being in a Bond movie," he said. "I thought that guy had something to say and you try not to make him too much like a Bond villain, even though you're dressed in the traditional Bond villain black jacket with the high collar."
Pryce's new role isn't as simple as being the "villain". As Joe Castleman in The Wife, playing the husband to Glenn Close's titular character, it's a character that does, arguably, awful things but layered with understandable motivations and teeming with insecurities.
"It's the same with Joe," Pryce said. "It's up to the audience to decide whether he was a horrible man. I've had some people say to me, 'I really like him. I'd be like that if I had a wife like that'."
In the film, Pryce plays a celebrated author who is awarded the Nobel prize in literature for his storied career. His wife Joan has supported him in every way, perhaps more than either would care to be made public.
Based on a book by Meg Wolitzer, the film looks at the messy dynamic of a long relationship where, behind the scenes, an underestimated woman is much more powerful than the public bluster and showmanship of her husband.
While it's set in the early 1990s, with flashbacks to the 1950s (where fellow GoT star Harry Lloyd plays the young Joe), and the story is very specific to this couple, it also feels very "now" in the current era.
"There's a universality in its themes. And it was a very adult script, which you often see for a TV piece but rarely for a feature film.
"I didn't know the novel but the script was a very rich portrayal of people in a long-term marriage and the disintegration of that marriage."
