"There's no romance," he explained. "But there's deep love."
Coleman, also known for her role as Jasmine Thomas in Emmerdale, said starring alongside a new Doctor was exciting, but scary.
"The Doctor, who is my best friend, is not only in a different body, but he's also getting to know himself," she said.
"Age made no difference. He's an alien. We're not lovey-dovey. Everything is more about what is unsaid, rather than said. Clara may seem like a control freak, but she's trying to control the uncontrollable."
The ninth series of the hit BBC One show will premiere in New Zealand on Prime on Sunday.
A lot has been made of the connection between the Doctor and his assistant, given that in the last series their relationship was really put through its paces.
The show is popular around the world.
"I'm amazed at the audience reaction and don't really know why it is," Capaldi said.
The actor was a huge fan of the show, even before landing the lead role. As for its popularity on other shores, he reckoned: "Unlike other sci-fi, Doctor Who has a domestic element - the Tardis could turn up in the mall or a coffee shop - but it catches fire abroad, in culturally different places, particularly with students and young adults. I suppose it offers escapism."
It's not unlike the escapism that acting offered a young Capaldi, who said he was mocked relentlessly and called Moon Man in his youth in Glasgow.
"It was the Apollo landings and I spent my entire life writing letters to Nasa who sent pictures to me," he said. "I was a geek before the word was invented."
Geek has turned into chic for him though, as he joins a long list of stars who have earned themselves "sex symbol" status.
"I'm the same person I was when I wasn't a sex symbol. Fame is such a privilege and any downside is a small price to pay. It's slightly different, though, because people think they're meeting Doctor Who, an icon, and not me," he said.
TV preview
Who: Peter Capaldi
What: Doctor Who, new series
When: Prime, Sunday 7.30pm
- AAP
