"I think I'm a good listener," says Macdonald when I ask her if she's in danger of being typecast as a passively powerful female. "I tend to get cast as a certain type of quiet, almost introverted person who's strong on the inside, but the characters are so very different I don't see it as any kind of typecasting.
"In Gosford Park Mary sees and hears everything. Margaret is in that mould but she breaks it. She has so many aspects to her character. She starts off as someone who acts in the interests of her family but by series two she's become more dangerous in a way.
"She knows a lot of things about a lot of powerful people. She's taken a certain path and there's no turning back. It's a complex arc and a sustained one."
You can tell Macdonald has no regrets about taking the role in Boardwalk Empire, even if it means eight months of filming on an elaborate set in Brooklyn. She originally signed a four-year contract. Given that she has a husband - Dougie Payne, bass player of Scottish band Travis - and a young son, Freddie, who turned 4 in March, it sounds like quite a commitment.
"It is," she says, pulling a concerned face. "There's always an element of upheaval. I have working mother's guilt big time, so the family comes with me.
"We're all out there on location for eight months. It's a big ask, but Freddie loves it and Dougie, as a musician, is kind of used to it. It could be a lot worse."
In between extended stays in New York, Macdonald has had time for other films - first up is Brave, a 3D computer-animated fantasy produced by Pixar, set in a mythical Scotland.
She voices Merida, skilled archer and impetuous daughter of King Fergus (Billy Connolly) and Queen Elinor (Emma Thompson).
Having got the call-up to replace Reese Witherspoon in the voice booth, Macdonald describes it as "a coming-of-age teenage story in which I am a tomboy constantly at war with my mother who is trying to create the perfect princess".
Merida defies an age-old custom and unleashes chaos in the Highlands. She's the first female protagonist in a Pixar film, which has its pressures.
"It's kind like being asked to play Woody," she has said, "although at the time I didn't really think about it enough ... no pressure."
Sounds like fun, I say, but is it acting?
"Totally!" she says, affronted. "It's like hyper-acting. You can't rely on your face to convey anything so it's all voice. It's mad. It's like nothing I've ever done."
Macdonald moved back to Scotland from London a few years ago and seems settled there. "A few years ago, if you had told me I'd be moving back to Glasgow I'd have said, 'No way'. But it's changed. It's much more vibrant, bohemian. But I'm 35 and I've become a bit of a homebody, I don't really go out much. Same in New York. My home could be anywhere but I love Glasgow."
Macdonald is famously tight-lipped about her upbringing there. Her parents, Archie and Patsy, divorced when she was nine. "It was fairly middle-class up to a point and then money struggles hit," she told the Observer in 2009.
"We didn't starve or anything ... our mum always looked after us." She has been estranged from her father since her teens. When I ask her about her childhood she says softly but determinedly: "I'm not talking about that."
Was she a tortured adolescent, though, rescued by acting? "God no!" she exclaims. "Anything but. I worked in bars and stuff and had fun. I was interested in drama but it never seemed like a real profession somehow. It was so outside my experience and I probably wouldn't have had the confidence for drama school, though I did send off for an application form."
When I ask her where her acting skills come from she mentions a great aunt, Toko, who was half-Japanese and worked as an acrobatic dancer in the music hall era. "That was it, really, apart from a few fortune tellers on my mum's side. My granddad used to joke that my grandmother was descended from a shower of tinks," she says, cracking up.
Her life changed dramatically one afternoon in 1995 when she was handed a flyer advertising auditions for a new film called Trainspotting that was about to be shot in Glasgow. She went along and landed the part of Diane, the schoolgirl who seduces the film's antihero, Renton (Ewan McGregor), in Danny Boyle's breakthrough film. The rest is history. She seems to thrive in auditions, I say. So far, she has tried out successfully for Robert Altman, the Coen brothers and Scorsese - that's quite a track record.
"Well, they were all very different experiences, though you are essentially doing the same thing. With Altman there was a playfulness about him. Really, you just wanted to please him. When he offered the part he actually said, 'Come play with us'. It was a lot of fun, haphazard but really freeing. You never knew which way was up or if you were even on camera or not. It kept me on my toes and I like that."
For No Country for Old Men she was the first actress out of hundreds the Coen brothers auditioned, and landing the part pitched her into a different league in terms of profile and earnings.
"I think I surprised everybody, including Ethan and Joel. They like to keep things close to home when they choose actors and I was Scottish, but I obviously did something right." What were they like to work for? "Like Altman they do things their way. They're mavericks who care passionately about their films but don't care about the rules. It rubs off on you when you work with people like that."
When Terry Winter, creator and screenwriter of The Sopranos, called her up about a part in a new pilot for a gangster series set in Atlantic City, he mentioned that Scorsese was involved almost as an afterthought. "It was, like, 'By the way, Marty Scorsese's directing it.' I just said, 'Right, I'm on board if you want me'. I didn't really know anything about the character or her development but it was Scorsese. That was enough for me."
Was it daunting to read for him?
"Kind of, but he's just so fascinating to be around. He's so welcoming and enthusiastic and full of knowledge, but he's also interested. Honestly, he's one of those people who's such dead good company that you forget it's him."
In the series, Macdonald's is the single character whose motivations are hidden, just as her trajectory keeps you guessing where, and how, it will end.
"They're writing it as we go along," she says, "which means you're in the dark about what will happen to your character. It was difficult for me at the start, the not knowing. In a sense every actor in the show is living in fear of being killed off. It's about gangsters. People get killed off all the time. It's an interesting way to work. To be honest, I didn't know what I was getting into, but it's worked out just fine." Like her life, in fact.
Lowdown
Who: Kelly Macdonald
What: Brave
When and where: Opens at cinemas on Thursday
Also: Boardwalk Empire season two is screening on Prime, Sundays, 9.45pm
-TimeOut / Observer
