London-born Hayley Atwell, 35, graduated from Guildhall School of Music and Drama in 2005 and within months landed her debut film role in Woody Allen’s Cassandra’s Dream. She has twice been Olivier award-nominated for stage roles, and after playing Peggy Carter in the Captain America films, landed her own TV spin-off, Marvel’s Agent Carter. She starred in autumn’s acclaimed BBC adaptation of Howards End and is currently making her debut at Hampstead theatre in Dry Powder.

You’re starring in Sarah Burgess’s Wall Street comedy Dry Powder. How’s it going?

It’s a real delight. I hadn’t been on stage for five years and was looking for something that jumped off the page, a female role with wit and chutzpah. The play’s set in the world of high finance and initially I didn’t understand the lingo or the rampant capitalism. But it grew on me. Turns out it’s very liberating to play someone who’s unapologetically ruthless.

Yes, your character Jenny is quite villainous...

She’s described as “a vampire” with “sociopathic tendencies”, yet Jenny’s happy with herself and sleeps well at night. She doesn’t have that moment where she breaks down and says “My daddy abused me” and the audience go “Aha, that’s why she’s such a bitch”. Sure, she lacks emotional intelligence and lives in a world of numbers, but if a man in her position displayed those qualities, he’d probably get a pat on the back.

I fancied a juicy part that wasn’t your typical crowd-pleaser… one that debunks female stereotypes Hayley Atwell

What prompted your return to the London stage?

Partly being inspired by seeing a lot of great British theatre, particularly the work of Rob Icke [associate director of the Almeida]. I saw his Hamlet three times. One day I’d love to tackle the classics, particularly male roles in Shakespeare, which are far more interesting than most of the female ones. But first I fancied a juicy part that wasn’t your typical crowd-pleaser. Not the sexy one, not the wife or the mother, but one that debunks female stereotypes.

Howards End was a big hit. Was it as enjoyable to make as it was to watch?

Definitely. I was ready to take on something more challenging and nuanced. Peggy Carter was a positive role model for kids and took on a life of her own, which was wonderful, but it existed in a particular genre. I was yearning to expand my range. Margaret Schlegel was all-consuming and a bit of a career-changer for me. Being the leading actress also comes with a responsibility to help create a positive atmosphere on set, so I bet myself that we could all do strong work and still have a giggle. To forge friendships and play pranks, but still deliver on “action!” That’s the kind of working life I want.

What pranks did you play on co-star Matthew Macfadyen?

We had this running joke that Margaret was wearing Mr Wilcox down and ultimately infantilises him. So I planted a dummy in his coat pocket, put a nappy in his trousers, a potty in his trailer. I secretly arranged with the runners that any time Matthew asked for a cup of tea, they’d bring it to him in a sippy cup. To his credit, he fully embraced it.

Emma Thompson played Margaret in the 1992 film version. Did you talk to her about the role?

I did. She’s been an inspiration and mentor to me ever since she was my mother in Brideshead Revisited a decade ago. She said: “Don’t watch what I did. This is your Margaret.” Em is effortlessly generous like that. A great leader on set, too. I remember her sending hampers of cheese to the accounts department on Brideshead. Everyone wanted to come to work because they felt like we were all in it together. Matthew and I sent her some pics of us on set, pulling stupid faces. She also said that EM Forster was one of literature’s first proper feminists, which certainly rang true when I reread the book.

Tracey Ullman played your Aunt Juley. What was she like?

An absolute joy. Our trailers were next to each other and sometimes I could hear her practising her impressions for her sketch show: watching Theresa May speeches on YouTube, then pausing it and impersonating her.

What do the #MeToo and #TimesUp movements mean to you?

For me, it’s about better representation and treatment across all industries. This past year, the conversation has been blasted open in quite an exciting way. It carries a lot of grief, rage, frustration and fear but could lead to deep cultural change. What’s brilliant is the solidarity of the women speaking out. It’s created a new vocabulary. I feel galvanised by it. I’ve always been outspoken but this movement has created a quiet confidence that we can call things out when they’re not OK – not just sexual harassment but any abuse of power.

You worked with Woody Allen just over a decade ago. How was that experience?

I haven’t spoken about this before. It was my first film and I didn’t feel directed by him at all. I didn’t have any kind of relationship with him. And that was fine but bizarre. It was a great opportunity, so I did the best I could and left. I didn’t know back then what I know now. Would I work with him now? No. And I stand in solidarity with his daughter and offer an apology to her if my contribution to his work has caused her suffering or made her feel dismissed in any way. It’s exciting that I can say this now and I’m not going to be blacklisted.

You were mentioned during speculation about the new Doctor…

Was I? How funny. I was at drama school with Jodie Whittaker and she was always brilliant. She won the gold medal in our year. When it was announced, I called her up all excited and she said [uncannily impersonates Whittaker’s Yorkshire accent]: “I know, I’m sorry, I had to keep it quiet and it was so hard.” I thought it might have been Phoebe Waller-Bridge so it was a complete surprise. Jodie’s so funny and she’ll knock it out of the park.

Your chihuahua plays a starring role on your Instagram feed. What’s his name?

Coincidentally enough, he’s called Howard. A couple of months after I named him, I got the job on Howards End. He was the on-set mascot.

You’re in the live action Winnie the Pooh film, Christopher Robin, out this summer. Tell us about that…

Ewan McGregor plays Christopher Robin and I’m his wife, Evelyn. Ewan was in the Woody Allen film too, so it was a bit of a reunion. Howard seemed to think he was also part of the ensemble, so kept gatecrashing scenes. He does look a bit like Kanga, I suppose. The producer’s parting gift to me was a painting of Howard and Winnie the Pooh in matching red jumpers, which was so cute. Howard brought a lot of smiles on to that set. He’s a little bundle of joy.

Dry Powder is at Hampstead theatre, London NW3, until 3 March