From creator/writer/director/executive producer Matthew Weiner (Mad Men), the Amazon Prime series The Romanoffs is set in seven countries around the globe and tells a different story in each of its eight episodes, all about people who believe themselves to be descendants of the Russian royal family. In Episode 5 – called “Bright and High Circle” and starring Diane Lane, Ron Livingston, Andrew Rannells, Cara Buono and Nicole Ari Parker – a trusted friend under suspicion tests the loyalties of a community in which a rumor starts to get out of control.

During this 1-on-1 phone interview with Collider, actress Cara Buono talked about working on projects that have such a high level of secrecy and who she shares those secrets with, finding out that Matthew Weiner had written her a role in The Romanoffs, getting to know him when they were both working on The Sopranos, auditioning for her role in Mad Men, and what it’s like to work with Matt Weiner the showrunner vs. Matt Weiner the director. She also talked about the experience of being a part of the Netflix series Stranger Things, what she loves about her character, and how she thinks fans will be as surprised by Season 3 as she’s been while shooting it.

Collider: The anthology approach for The Romanoffs is so interesting because it creates its own little mini-world with each episode, which is just so fascinating to watch.

CARA BUONO: Yes. I was hoping that I would have watched more by now. I’ve seen the first one and part of mine, but because I promised my husband that we would watch it together, I am not caught up. I’ve been filming in Atlanta (for Stranger Things Season 3), and we haven’t been together as much. He’s finished quite a few series without me, so we’ll be watching this one together. I made him promise that we’d watch all of these episodes together. So, instead of doing it every week, we’ll be binge watching it.

You’re a part of two pretty high profile projects, with Stranger Things and The Romanoffs. What’s it like to be a part of projects that have such a high level of secrecy? Are you afraid to ever say a word to anyone?

BUONO: Starting with The Sopranos and Mad Men, and then Stranger Things and The Romanoffs, I have been cast in some very high profile, secretive shows, so I do have some experience with that. In fact, when I work on other shows, I often ask, “Am I allowed to talk about this?,” or “Can I post anything on social media?,” because I’m so used to everything being really secretive. Sometimes I get a little panicked that I may have let some things slip, by accident, but I’m pretty well trained now, to just not say anything. I must appear really boring.

Do they let you have a secret buddy that you can share things with, or do you have to just keep everything from everybody?

BUONO: I do tell my husband. I do think there’s something in the bond of marriage, where I can trust him completely. I trust him with what we wrote in our will, so I think I can trust him with some of the secrets from the show.

How exactly did you find out about your role in The Romanoffs? Did Matthew Weiner reach out to you directly and tell you about the project and the characters, or did he send you a script?

BUONO: I knew that he was working on a new project, and I wasn’t sure exactly what it was, but I’ve always told Matt, since we were on The Sopranos, that I would sign up for anything that he’s working on, because I just think he’s such a brilliant writer and I trust that whatever the part or the script is, it’s gonna be so exquisitely written. He had come to New York for something and we were talking, and he said that he was working on this anthology, which sounded amazing, and that there was going to be a part for me in one of the episodes. I said, “Sure, whatever it is, I’m gonna do it.”

You first got to know Matt Weiner through The Sopranos. What was your impression of him, back then? What did you think of him and his style of work, when you first worked together?

BUONO: The Sopranos was one of those dream come true roles. I just couldn’t believe that I was part of it, and that I was sitting at dinner at The Sopranos Sunday dinner table. It was like a family, and we got to know the writers and directors. Even though I was on it towards the end and for a short time, I really felt like I was part of that family, and I was lucky to get to know so many people, including Matt. I read the pilot for Mad Men, that he had started when we were in production. He was planning to cast that and work on it, and I thought, “This is just brilliant.” We just clicked, from a creative perspective and as friends. If you’re lucky enough to come across creative people that you connect with, it’s so wonderful. And to be able to have a friendship that’s grown now, over eleven years, you can’t ask for anything more.

At the time when Mad Men came about, did you have to audition for that role, or was that another instance where he had thought of you for the role?

BUONO: Oh, no, I had to audition for the role. When the show went on, I, like most people, was a huge fan. I was crazy about it and just never knew if there was ever going to be a role for me. I remember being in New York and getting a call that there was this role, and would I fly out to audition for it? I said, “Of, course!” I didn’t know much about it, at all until, I went in and auditioned, and I had a very long audition. I didn’t know what it was going to be, but I got cast in it. We had a relationship, but I still had to prove myself and win the role. I remember walking out of that audition and there was a roomful of actors, like there usually are. I thought I was so special, but there were eight other people there, and I had to win the role. I remember getting the call, and just pulling my car over and jumping up and down. It was really amazing.

What was it like to work with him in the capacity of showrunner on Mad Men, and how had he changed or evolved, by the time you ended up doing The Romanoffs together?

BUONO: On Mad Men, he would only direct the last episode of each season, so I only got to work with him, as a director, in the last episode of the season I was in, which was Season 4. Matt would stay involved in all aspects of the show and the look of everything. He really had his finger in all of the departments and had a vision for everything. But when I was working on that show, I didn’t have much interaction with him because he wasn’t directing. He was running the show and writing the scripts, and if he came down to watch a scene or something, we’d see each other. The time I spent working with him, when he was a director on The Romanoffs, we got to spend more time together. Most TV shows, like Mad Men, have a writers’ room and the showrunners is so busy, working 16 hours a day, making the next show, and just keeping it moving.