In a career spanning more than 30 years, Johnny Depp has played everything from the world’s greatest lover (“Don Juan DeMarco”) to the world’s worst director (“Ed Wood”), constantly reinventing himself onscreen with daring choices. Because he’s become one of the biggest stars in the world, it can be easy to forget he is also a remarkable actor, immersing himself so deeply into characters as to become virtually unrecognizable. Such is the case in “Black Mass,” in which Depp portrays legendary Boston gangster James “Whitey” Bulger with such chilling authenticity that, as director Scott Cooper reveals, those who know the real deal were unnerved when they visited the set.

Last weekend, the three-time Oscar nominee was on hand at the Palm Springs International Film Festival to accept the Desert Palm achievement award for his work in the film, where he thanked his wife, actress Amber Heard, “for living with all these characters, which can’t be easy.” Point out that he has to live with Heard’s characters as well, and Depp laughs. “Yes,” he says, “But hers are a lot better-looking than most of mine!”

I think you’ve said that in many ways, Scott Cooper’s involvement attracted you to the project as much as the chance to play Whitey Bulger.

That’s absolutely true. I’ve been fascinated with the Bulger case for years but what really drew me to this project was Scott. I had seen “Crazy Heart” and I was blown away, not just by Jeff Bridges’ mesmerizing work. One could watch the performance and not see the movie, if you know what I mean. But Jeff was so brave and unbelievably touching and funny, combined with Scott’s ability to turn the camera into this intimate portrait. Scott’s got such a fantastic understanding of cinema, but also the human animal. He’s very special; I still can’t’ believe he’s only done three films. I want to do anything with that guy.

You’ve been nominated for a SAG Award for “Black Mass” and actors clearly appreciate your work; you won in 2004 for “Pirates of the Caribbean.”

I was amazed by that, I’m still amazed by that. Particularly because it was something that came out of left field, in a sense. It’s not necessarily the type of film or character you would imagine to get even a nomination. Going into stuff like that, you’re basically waiting for finger pointing and ridicule. So that was a very special and shocking moment to even have been nominated.

You mean taking risks with characters opens you up to ridicule?

I know sometimes (with roles) people will watch it and say, “That’s just madness, he’s just playing some weirdo or he’s painted his face again.” But these are the characters that I see, it’s how I see them. And if you feel it’s the right thing to do for the character and you stick to your guns, no matter what, at least you tried something. Even if it’s an absolute failure. So I feel really good about my characters in the sense that I at least tried something. If it works, great. If it doesn’t work, I tried.

So were you concerned about how Whitey would be received, being so iconic and so specific in his look?

I wasn’t worried at all only because what’s done is done. But I want an audience to lose themselves. When they’re seeing what they know to be this guy called Johnny Depp and all his baggage and all his movies, I want them to forget me. That’s the great test. If I can get them within three to five minutes, we’re going to be okay. But if they immediately go,” I’m watching some guy in makeup,” then I’m screwed. There’s always that concern. But I knew I was in good hands with (makeup designer) Joel Harlow on “Black Mass.” We did so many tests on it, and he’s brilliant. It needed to be perfect, and he did an amazing job.

How long did it take you to get into the makeup?

There were some early calls, for sure. I suppose we started out at two and half hours and we got it down to two or an hour and a half in the morning. At the end of the day, you have to go take him off. That takes about an hour, ungluing things from your head and your face. It’s everywhere.

Did you ever sleep in it?

I did! I’ve done that on a number of films with heavy prosthetics. When I played Tonto in “The Lone Ranger” and was playing the older Tonto, I would just leave the makeup on and go to sleep because it was a four or five hour job, it was from the waist up all over me. Amber certainly didn’t like that. (Laughs) I did it with Bulger too, I’d leave him on now and again because I was so tired.

What about leaving the character behind emotionally? Was he hard to shake at the end of the day?

Because you’re playing the guy from morning to night every day for a certain length of time, months and months, they do seep into you. That’s not to say that you’re no longer you. But being someone more than you’re yourself in a day, there’s no other way that it can happen without the character seeping into you a bit. I always have a decompression period at the end of a film. Sometimes it joyful, because you’re just happy to be done. Or it can be melancholy. I remember the last day of “Edward Scissorhands,” looking at him and being him and knowing I would never see him again. It really got me.

You’ve played so many varied characters in your career. Who have you had the toughest time letting go of?

Three stick out in my mind. “Edward Scissorhands” was tough to let go of because I found real safety in allowing myself to be that open, that honest. To explore purity. It was a hard one to walk away from. Captain Jack, after the first one, was tough. Because Disney wasn’t looking at it like it wasn’t going to be particularly successful. I don’t think they were thinking sequels at that point so I didn’t know I’d see him again. He was so fun; he was a get out jail free card to be as irreverent as you want to be. And “The Libertine” was probably the most difficult. That’s a film I did that about 17 people saw, I think. I played John Wilmot, the second Earl of Rochester, and we did that film so quickly, in about 45 days, and it’s quite epic. A huge page count per day, a demanding character. At the end of that, I just kind of broke and got really sick. When you’re doing a movie, your body doesn’t allow you to get sick until you finish. I was down for like two weeks. Playing him was touching because I was passionate about bringing him out to the world as a brilliant poet. So many people don’t know who he is. And I loved him.