The real beauty of being an actor is the huge cross-section of projects you can work on,' says Natalie Dormer. And she should know. This year alone, Natalie has spent six months playing a sensual turn-of-the-century Viennese woman in Sweet Nothings at the Young Vic, portrayed the young Elizabeth Bowes-Lyon (the Queen Mother) in Madonna's Wallis Simpson film, been a junior barrister in the BBC's new courtroom drama series Silk and a sassy Second World War American private in the giant-budget Captain America, alongside Tommy Lee Jones, Hayley Atwell and Samuel L Jackson. Now Natalie, 28, is slumming it on a basement stage at the Hampstead Theatre as Pat, a working-class New Yorker in a violent relationship in a new play, .45, by American writer Gary Lennon, and our conversation is occasionally interrupted by the noise of hammering and sawing from on-stage as the company struggles through a technical rehearsal. 'It's real grit-and-sawdust stuff,' Natalie enthuses, coiling up on the sofa in her working outfit of leggings, cosy boots and layers of wool. 'I've played a lot of elegance and refinement, so to do something really down and dirty is a great attraction. Pat is very "legs apart".'

Natalie, it must be said, is not. She has wide, slanting pale blue eyes, waves of ash-blonde hair and looks like a member of the House of Elrond. These ethereal features have led her to be cast in a succession of refined costume roles, most notably as Anne Boleyn in The Tudors, the wildly successful TV series, and latterly as Elizabeth Bowes-Lyon in W.E. The strangely titled film, which was co-written by Madonna with her friend Alek Keshishian, the director of In Bed With Madonna, is a sympathetic retelling of Wallis Simpson's story in parallel with a modern love story.

Natalie admits that taking on the role of the Queen Mother was a daunting prospect. 'Everyone remembers her as the national treasure, with white fluffy hair and the lavender coat,' she says. 'There's not a lot of footage of her in the 1930s, though I really tried to find it.' She ended up asking for tips from actor Michael Sheen, lauded for his cinematic portrayals of Tony Blair, David Frost and Brian Clough, who advised her to try to convey the spirit of the woman rather than her physical likeness. 'Hopefully William and Harry won't be too pissed off with me,' she says, although you rather suspect they won't be thrilled, especially as their great-grandmother is the villain of the piece, famously hostile to Wallis, whom she blamed for George VI's early death, and refusing to speak to her after the abdication until the Duke of Windsor's funeral in 1972. (It is telling that although permission was requested to shoot at Buckingham Palace, all filming took place on National Trust properties.)

Anyway, what we're really interested in is not the Royal Family but her Madgesty. What is she like as a director? Unsurprisingly, absolutely clear about what she wants, it seems. In fact, her controlling behaviour has already caused actress Margo Stilley to storm off the set.

'Madonna is nothing but very direct and specific,' says Natalie carefully. 'This is one woman's gorgeous vision and you go on set knowing that's what you're doing.' So no arguing about your motivation then? Natalie bursts into roars of ironic laughter. She certainly found it strange to hang out with one of the most famous women in the world. 'As a child, I was prancing around in my mother's high heels and a ra-ra skirt singing 'Material Girl' into my hairbrush. She was one of my idols, so you do have to switch that part of your brain off. But as an actor, of necessity, you get over that very quickly. You're not starstruck on set, you're trying to get into your role. The professional switch on your brain goes on. We had a working relationship: she's the director, I'm the actor, these are our jobs. And then I'd go home singing 'Holiday',' she concludes with a giggle.

But was the catering all macrobiotic? Would Madonna allow the crew to look her in the eye? 'Madonna is completely down-to-earth,' says Natalie. 'She's an absolute professional. I meet fascinating people I respect and idolise all the time. It's such a beautiful gift of this job. And in my experience, the bigger the name, the more gracious and the more generous they are.'

Natalie grew up in Reading with her builder stepfather, housewife mother, sister Samantha, now 21, and brother Mark, 19, but is reluctant to discuss them. 'I came from a family that has nothing to do with the industry,' she explains. 'It was a very standard upbringing.' An only child until she was seven, her favourite game was dressing up and performing; she was also a keen dancer. But to her teachers at Reading Blue Coat School, she was an academic high-flyer. 'I'd probably always been a bit too repressed and well-behaved in my schooldays. I was head girl, a straight-A student, all those things,' she says. And captain of the netball team? 'Vice-captain.' She also travelled across the globe with her school's public-speaking team. 'So even though I hadn't dared to admit out loud to family and friends that I wanted to be an actress, I always knew that I did,' she says.

Natalie was offered a place to study history at Cambridge, but misread one of the questions in her history A level and didn't get the requisite A grade. 'I was devastated,' she recalls. She found herself living hand-to-mouth in London as she auditioned for drama schools. 'I had no money, I wasn't at university and I had an identity crisis. It was one of the darkest, most depressing years of my life.' Finally, she won a place at Webber Douglas (in the same class as Keira Knightley's boyfriend Rupert Friend) and says she immediately realised that she was in the right place. 'I needed to let my hair down, be a bit dirty, laugh at myself more. I'm miles different from the person I was ten years ago.'

Six months after graduating from Webber Douglas, she landed a three-picture Disney deal on the strength of her audition for the movie Casanova, which also saw her part, as an accident-prone ingénue, expanded by the screenwriter. 'I got sucked into the maelstrom,' she admits. 'It was, "Oh my God, I'm on set with Heath Ledger, and there's Jude Law and Sienna Miller over there..." You have to pinch yourself, you're in a daze. But then I was unemployed for nine months and temping in an office the Christmas after we finished shooting because I couldn't afford to pay my rent. It was the best lesson I could have had in the first 12 months of my career. From that moment on, I realised you can never get above yourself, or have a superiority complex; you can never for a moment get complacent. I'm sure Natalie Portman has fears of being typecast as much as I do.'

That fear, she admits, is the reason she has dyed her hair back to its original blonde, after being a brunette for Anne Boleyn. 'Bless her, she did so much for me but I needed to get away from her,' she says. 'I still get an awful lot of letters from teenage girls about Anne Boleyn, from the Czech Republic, to China, Australia and Korea, commenting on the positive influence watching Anne had on them.' Teenage boys will have probably been more struck by the distinctly fruity scenes she shares with Jonathan Rhys Meyers (as Henry VIII) in boudoirs, four-posters and on forest floors. This did not translate into any off-screen romance, however, or even friendship apparently. 'We're colleagues,' she says. 'It's like any job. It's no different
from filming a murder trial.'

Instead, it was while filming The Tudors that she met her current boyfriend, Irish director Anthony Byrne – 'an irreverent Irishman who swears a lot' – with whom she lives in Southwest London. She says he's loosened her up a lot, which makes me wonder what she can have been like before: to me, she seems strangely brittle and wary, especially when discussing her family background (even her father's job is off-limits) while her approach to her profession borders on the anguished.

'Acting is a great responsibility,' she says. 'For instance, with this play [.45], I've been thinking about the fact that there will be women in this audience who have had experience of violence. I hope they won't take offence. When actors portray the darker side of human nature, it's very delicate, but it's worth doing because it can give audiences great support and catharsis.'

So the question of whether she fancies an Oscar on her mantelpiece is waved away as an irrelevance. 'As Shakespeare said, our job is to hold the mirror up to nature, to represent real people on the street,' she says. 'If you get too wrapped up in the blazing starlight of celebrity, you don't really have the right to portray people on the street any more. Most of my closest friends have nothing to do with the industry and I like that. I like that it's: "Nat, stop talking about what you did the other day with Madonna, let me tell you what happened to me today at the office." I think that's very healthy.'

.45 is at Hampstead Downstairs, Hampstead Theatre, until 27 November (020 7722 9301)