Bill Keveney

USA TODAY

BEVERLY HILLS, Calif. – A huge class divide hasn't stopped Downton Abbey's Lady Mary and her lady's maid, Anna Bates, from finding a way to connect.

“The most interesting part of this story is the relationship between the two worlds. Mary has her most sisterly relationship with Anna. She knows her better than anyone,” Michelle Dockery (Mary) says in a joint interview with Joanne Froggatt (Anna) before the sixth and final season of PBS Masterpiece's Downton (Sundays, 9 p.m. ET/PT, check local listings). “For me and Jo, that’s been a huge part of the experience, those scenes between the two of them.”

Anna has a strong marriage to her downstairs colleague, Mr. Bates (Brendan Coyle), but she speaks most freely to Mary.

“Mary’s been the one from the start that Anna’s always confided in,” Froggatt says. “They really genuinely care for each other. Anna won’t hear a bad word said about Lady Mary, even though she’s not always perfect."

That applies from the other direction, too, Dockery says. “A lot of the time, Mary doesn’t really care what other people think, especially the family. But it’s important that she gets approval from Anna.”

Mary’s relationship with her real sister, Lady Edith (Laura Carmichael), is fractious, leading to plenty of drama. “There’s some really great stuff between the sisters,” especially late in the season, Dockery says.

While Anna has a husband, the widowed Lady Mary, who has a young child, is seeking a new partner.

"It's complicated. She's a widow now, so her choices are different, because it's about finding a father for George as well," Dockery says.

Dashing race-car driver Henry Talbot (Matthew Goode) is a candidate, although Mary may not agree. "That’s the sort of guy she would have liked at the beginning," Dockery says. " Mary was a rebel. Then her position gave her more responsibility, and she kind of became the person she didn’t want to be.”

There’s a playful give and take between the two actors as they discuss swapping their Downton roles.

“I definitely want the (upstairs) wardrobe,” Froggatt says.

Dockery cautions. “Sometimes, you’re like, ‘You can take it,’ " because of all the costume changes during filming.

Froggatt reconsiders: “I’m so glad all I have to do is one fitting" at the beginning of each season.

And Dockery decides she doesn't mind: . The outfit changes “are always worth it, because they are knockout.”

The period covered by Masterpiece's Downton – 1912 and through World War I to a technologically advanced 1925 – reflects massive change. “You definitely feel those social changes, more so for the women,” Froggatt says. “You feel there are starting to be more opportunities for women and for the working classes.”

New opportunities greet the actors, too. Dockery is set to play a thief and con artist in contemporary America in upcoming TNT drama Good Behavior, while Froggatt will go back to the 19th century to play poisoner Mary Ann Cotton in Masterpiece’s two-part Dark Angel.

They appreciate their Downton fame, with each ending heading toward the March 6 series finale serving as a reminder.

“The last day (shooting) at Highclere Castle was a big day,” Dockery says. “That’s when it really started to sink in.”