One of the best stories about Vicky McClure concerns the time she flew by private jet to attend the Berlin film festival in 2008 with Madonna. “It was, like, wow, a whirlwind.” And the next day, McClure was back at her office job sorting out the mail. “Answering the door: ‘Hello, postie? Yeah, I’ll let you through.’”

The film, Filth & Wisdom, wasn’t too well received, alas. But being handpicked by Madonna for her directorial debut – McClure must have felt she was about to make it? “When you’re young,” says the actor, her blue eyes widening, “it’s hard because your expectations are so high. Just having so much rejection, I’d built quite a thick skin. Even so I was like, ‘This is it, I know it.’ And it wasn’t, again.”

It’s safe to say McClure has made it now. We are sitting in a fancy London hotel and, last night, she was at a screening of her latest drama, though she insists: “I don’t want to feel that relaxed about things. I live in the real world and I don’t take things for granted.” As the newly promoted DI Kate Fleming in the BBC’s Line of Duty juggernaut, McClure reached a prime-time audience, and her recent documentary, Our Dementia Choir, was one of the most affecting TV shows of the year. Now she’s about to star in a standalone film, one of three dramas in an anthology for Channel 4, created with writer and director Dominic Savage.

Her film, I Am Nicola, is about a disintegrating relationship set against a background of coercive control. When Savage asked what kind of story she’d like to do, McClure said a drama about a relationship. “I’m fascinated by them,” she says. “It’s such a massive part of who you are, and it’s destructive – and it’s amazing. I had ideas about what I wanted that to feel and look like. I love watching people doing really boring, normal stuff. Dominic’s brave enough to do that, to capture it.”

Coercive control … McClure with Perry Fitzpatrick in I Am Nicola. Photograph: Channel 4

Nicola is a hairdresser while her boyfriend (Perry Fitzpatrick) has an office job, and their relationship begins to feel suffocating. Some of I Am Nicola is based on McClure’s own experiences: “Jealousy and trust issues. It can be quite isolating and you don’t really know you’re in it when you’re in it.” These previous relationships weren’t abusive, though, as Nicola’s is. “It was just being young – two people not really knowing how to have an adult relationship.”

Savage worked out the scenes, but the dialogue was improvised. “You’ll see a scene that could last two minutes but we’ve spent 20 minutes beforehand and after developing it, so it feels like you’ve got a lot of raw emotion. It’s interesting. I like working that way.” McClure has known Fitzpatrick since she was 11, when they both attended Nottingham’s drama group, the Television Workshop, where improvisation was a key part.

McClure grew up in the city, where her dad was a joiner and her mum a hairdresser. She wanted to be a dancer, but when she got a place at drama school acting took over her life. “I felt such freedom, made a great bunch of friends, created drama and plays. My head just spun.”

When she was 14, she got a place at London’s Italia Conti Academy of Theatre Arts, but her parents couldn’t afford to send her. (Years later, she found letters they had written to the council and arts organisations pleading for donations.) “I didn’t really know what I was missing so it was fine. Looking back, you kind of go, ‘It wasn’t meant to be.’” And anyway, the workshop was brilliant. “It was a bit of a shithole, really,” she says, laughing. “That’s what I loved about it. There was this little dungeon of props and costumes – and they were minging. There were battered old settees we’d pull into scenes. There was stuff everywhere.”

McClure, right, with Chanel Cresswell and Rosamund Hanson in This Is England ’86. Photograph: Channel 4

It wasn’t precious: everything could be ripped up or painted. She loved being able to swear in character, a novelty for a kid. “You couldn’t be told off. There was no judgment. It was free, so you had everybody from all walks of life, all ethnicities, all classes. It was the most incredible place because you were judged purely on your talent.”

What is it about Nottingham that made its drama group – which also produced Samantha Morton, Joe Dempsie and Molly Windsor – so successful? “It’s just the best city, innit?” says McClure. This is the point at which interviewers are incredulous that the dazzling and successful McClure doesn’t live in London, but in Nottingham with her fiance, the actor and director Jonny Owen. “Oh my God, it’s as if I’m living on the moon,” she says. “It makes me laugh that it’s such a big deal. I find it more extreme that Martin Compston [her Line of Duty co-star] lives in Las Vegas. I live in my home town. I think people think, ‘Ooh, she’s doing it for effect.’”

McClure did live in London for a while. “I always said I can’t stay here because …” She pauses, then becomes deadly serious. “I begrudge paying that much for a pint. It really does piss me off. My life is not predominantly my work. Jonny and my family and friends are my priority. I have a great opportunity to dip my toe into London, get loads of stuff done, and then I go home.”

McClure’s first proper job was in Shane Meadows’s comedy-drama A Room for Romeo Brass, when she was 15. “I genuinely thought it was big-time,” she says, smiling again. “It was shown in Nottingham and all my mates went to see it. I was like, ‘Oh my God, I’m in a film! My life’s going to change overnight!’ Later I was told it was shown at six cinemas across the country. But in my head, it was everywhere – it was in America, they were going to discover me, Julia Roberts was going to want to cast me in her next film. I was young, really naive.”

Meadows cast her again in his film This Is England, and she reprised her role as skinhead Lol for the TV spin-offs, one of which won her a Bafta. She had been working since she was 16 in shops and offices, throughout these early roles. “I do remember saying to them, ‘If it all goes wrong, can I come back?’”

Juggernaut … with Adrian Dunbar in Line of Duty. Photograph: Bernard Walsh/World Productions/BBC

McClure, now 36, has been vocal about the lack of acting opportunities for those from lower-income families. “I think people think I’m against people who are privileged, and I’m not. I’m privileged now, to be able to pay my bills and do the work I do.” But “from what I hear, they are cutting drama and arts in schools and train fares aren’t getting cheaper”. It’s hard to afford last-minute trips to London when an audition comes up, she explains, “and people are struggling to join drama schools because of their financial situation”.

McClure has set up a production company “to focus on working-class drama and comedy. I’m interested in stories I can relate to. It’s not always dark, it doesn’t always have to be a complete tragedy. And trying to get directors who are from a similar world – because it’s all right saying we’ve got this brilliant script, but all of a sudden you’ve got somebody directing it who’s not from that world. That can be tricky.”

Although she has never experienced the sort of #MeToo harassment other women have spoken out about, she has experienced sexism. Or as she puts it: “I have experienced some right twats, as in men who treat men differently to how they treat me.” Things such as a male actor being asked if he is happy to start a scene “and I’m stood in the room at the same time. I’m like, ‘Yeah and I’m also happy to go.’ It’s little things like that, which you might think are nothing, but you’re offending me by not asking me. I am quite strong and to some people I might seem a little cocky, but if I’ve got an opinion I like it to be heard. That’s not me trying to be difficult. I’ve seen too many men walk into the room and go, ‘What’s happening?’ And then you do it as a woman and you feel like you’re being difficult.”

‘I’ve lost jobs I’ve desperately wanted’ … McClure. Photograph: Suki Dhanda/The Observer

She’d like to have a go at directing, and has one project “bubbling away”. In the meantime, is she having to plan her life around Line of Duty? “There’s nothing to plan around so I’m kind of ignoring it.” The sixth series has been commissioned but she doesn’t know any more than that. “No one’s got anything to tell us. Nothing’s been written.”

When it started, they had no idea what a hit it would become. “Not in a million years. There’s nobody at the top telling you, ‘We’re going to make sure this is a success.’ It’s the audience who decides that, and that’s what I love about it.” She puts its success down to Jed Mercurio’s writing, but also to casting decisions – a mix of big names such as Thandie Newton, with surprising roles for, say, Neil Morrissey, more often seen in comedy. Even McClure and Compston were relatively unknown indie actors when the series began. “Totally,” she says. “I was a Shane Meadows kid, he was a Ken Loach kid. We’re these indie actors you wouldn’t think you’d trust with a BBC cop show.”

McClure seems to approach her career with a simple combination of gratitude and hard work. “I have been lucky. I’ve lost jobs I’ve desperately wanted. I’ve gained jobs that became what I never expected them to become.” Trying to make it big in the US has never been a priority – she has never even been to Los Angeles, she says, then laughs at my disbelieving expression.

“That’s the reaction I get,” she says. “What am I going to do? Go and knock on doors? I’ve done that since I was 11. It’s not that I don’t want to try it and do other things but I don’t know if, at 36, I’ve got the patience to sell myself again.” She smiles brightly. “I love British TV, I love British film. I like where I live and the work I get.”

• I Am Nicola is on Channel 4 on 23 July at 10pm.