Horrocks and director Richard Riddiford were both "very strongly drawn to the guy" and believe Kiwis will find Costello's complexity as compelling as they do, but inevitably it's the question of whether he was a Russian spy that's the doco's main reason for being. It was also one of the biggest hurdles to making it.
The documentary-makers needed interviews with Costello's friends and family, who are convinced of his innocence, and with members of the British Intelligence establishment, for whom Costello's status as a traitor is self-evident. Both sides were deeply suspicious, and convincing them to participate was a lengthy and nerve-racking process.
"The first person to get on side was, of course, James McNeish," says Horrocks. "Once we won him over - and we had to do that without necessarily committing to his point of view - he introduced us to Paddy's family, who were also extremely protective of their father's story.
"Mick, the eldest child, was the key there, but when we visited him in England we still had no undertaking he would be interviewed or facilitate interviews with any of the other family members. We didn't actually get that permission until we were sitting in front of him and asked if we could turn on the camera."
Even harder to pin down was Professor Christopher Andrew, the key exponent of Costello's guilt. "As the official MI5 historian, he's the world authority in that field and we really needed him on screen," says Horrocks.
"So we pursued him for three months and it wasn't until the last day we were in England that he agreed to be interviewed - and even then it wasn't confirmed until we got into his house."
England was just one of eight countries Horrocks and Riddiford filmed in, an experience that underlined the similarities between our time and Costello's.
"I think the biggest difference is people saw the world in much more black and white terms in those days; back then you were either with the right wing or a communist," says Horrocks. "But something we totally have in common with Paddy's era is this extraordinary political and economic turmoil.
"There were demos against the Government when we were shooting in Greece and Italy; when we were in Moscow they were protesting against Putin; they were just coming out of a revolution when we were in Georgia; and we were in Egypt during the week leading up to the overthrow of Morsi.
"It's only in retrospect that we realised just how dangerous the situation was when the Egyptian police tried to arrest us for filming issues of national security on the Nile, of all things," Horrocks laughs.
Still, the sequences demanding dramatisations provided the most daunting challenge.
"Trying to make anything historical with a New Zealand budget is difficult because you're so limited in your scope, so we came up with the ambitious idea of using animation, which involved quite a bit of experimentation."
With a style "inspired by those Soviet Constructivist propaganda posters", the animation allowed the documentary-makers to "depict whoever we wanted wherever and whenever, as well as economically convey ideas and emotion," says Horrocks.
"It was a really exciting thing to do, and we want to give big ups to Prime for embracing the idea, and to our animation supervisor Zane Holmes, who really pulled it off."
The Man Who Knew Too Much screens Sunday June 15, 8.30pm on Prime.
