Alex Graves tells THR the episode's deaths took a toll on him: "Of the four episodes I shot, those scenes were the hardest emotionally."

[Warning: Spoilers ahead for Sunday's Game of Thrones season finale, "The Children."]

Director Alex Graves unveiled his Game of Thrones finale on Sunday.

After directing four episodes this season and tackling some of the year's toughest scenes, he says the deaths of Shae and Tywin were the "hardest emotionally" for him.

"They are scenes you know about the moment you get involved with the show. That's such a key, famous sequence," he tells The Hollywood Reporter. "When you find out you are going to direct it you go, 'Oh God. I hope I don't blow it.' "

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He also says Daenerys is headed for a rocky road in season five.

"You are very much setting up next year, laying out that she is now alone," Graves says. "Everyone she had on the way up has been banished or sent away. She is in a very, very dark place that's going to lead into next year."

Here, Graves breaks down The Hound's painful death scene, teases where Arya is headed next year and reveals what was cut from the finale. For more from the episode, check out our Q&A with showrunners David Benioff and D.B. Weiss and our interview with Shae actress Sibel Kekilli.

What scene were you most worried about?

All of them. The finale was such a powerhouse on a scene-by-scene basis. It opens with a suicide mission turned into an invasion. That's the first couple of minutes, and it doesn't get any better after that. Even the Lena [Headey] and Charles [Dance] faceoff, that scene was a big scene for me to shoot — so all of them were very challenging.

Mance Rayder was very sympathetic in this episode. What was the key to getting that right?

Ciaran [Hinds] is incredible. What he understood from the beginning was that Mance is smart enough to sit across from a young leader and realize the best way to win is logic. He knows Jon is intelligent enough that if he makes the right points, it's going to weaken Jon's resolve. He lays it out in such an honest, logical way that Jon is affected by it — because Jon is not some brute, he's a brilliant leader in the making. It ultimately works. When Stannis says, "Should I kill him or not?" Jon says, "Don't kill him."

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Stannis looked so cool and kingly in this.

All you have to do is put Liam [Cunningham] and Stephen [Dillane] on horses and they look pretty kingly. When we shot the first episode on Dragonstone, I said, "Look, don't worry. You're going to be killing people on horses in the finale," and they lit up, going, "Yay, we're finally going to be doing what we're supposed to do."

What was the toughest Daenerys scene?

The casting of the two men who come to her at court was key. You are very much setting up next year, laying out that she is now alone. Everyone she had on the way up has been banished or sent away. She is in a very, very dark place that's going to lead into next year. [Emilia Clarke] did a great job, as always.

How long did it take to shoot the Bran scenes?

The skeletal Wight part took five days to shoot, and the cave sequence took two. It was almost not enough time – it was very intense. The Children of the Forrest and the three-eyed raven are part of the deep history of the show that will actually come back as the show goes on.

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Were there specific challenges to the cave scene?

Filming the three-eyed raven and introducing the tree — getting the lighting right — was a challenge. It was the end of the season and we were running out of money. It would have been great to have another day.

This episode was a little longer than usual, did you get any extra time to shoot it?

I normally turn in a director's cut and it's on time. This [cut] ended up being over by a few minutes, and I was worried because I'm pretty good at cutting stuff and I was having a hard time. All of a sudden I got a call from David Benioff saying HBO was going to air it at its full length.

Having the Hound (Rory McCann) and Brienne (Gwendoline Christie) fight was maybe the saddest part of this episode. What was filming that like?

I love those actors, and they were really into it — we had a blast. We shot for four days in Iceland on this mountain. The scene where Brienne meets Arya [Maisie Williams] is one of the most well-written scenes of the show. It was dramatic because you have a fight between two people and you don't want either one of them to win. You don't want either one to be killed. It was a pet scene of mine, and I put a lot into it. I was very happy with how it came out, especially the acting.

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The Hound is presumably dead. What did you tell the actor about his death scene?

Everything he says is fairly ugly. The only thing I said to Rory was, "Everything you say is basically, 'I love you. Kill me.' " He brought in that sense of brotherly or paternal affection for her, and it is really not being returned in his final moments.

In your mind, did Arya leave the Hound without killing him because that is a worse fate for him?

It's really important to show her moving on. The story isn't that the Hound is presumably dead. The story is that she is now moving on to adulthood on her own in a seemingly dark way. That is an important story to tell. She is about to take off on a bigger journey than she's ever been on.

That last shot was gorgeous. Where did you shoot the final scene?

There is a ship they use for a lot of the ships. We shot it in a parking lot in Ireland where they have the ship. It was at a point in the season where there is no money left. But I thought "The hell with it. I'm going to draw it the way I think it should go," and I drew that huge shot. I went in the next day and I got looks like, "Why are you doing this to us? We hate you." Then as is always the case with the producers on the show, they turned around and said, "This is the final moment. We think it's great and we have to do it." They figured out a way to move the money around and make it happen, and I'm very grateful for that.

This episode had big turning points for most of the characters.

Don't forget the dual meaning of the title. Is the title about the children of the forest, or is the title about the Stark children? You're watching the Starks have major turns in the story, including Sansa [Sophie Turner] in episode eight where she is becoming the Lady of the Eyrie. That scene was originally in the finale. Last season ended with the Starks being wiped out. This season is ending with the Lannister family being wiped out.

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What were most worried about with the Shae and Tywin stuff? That must have been painful to shoot.

It was painful. Of the four episodes I shot, those scenes were the hardest [for me] emotionally. They are scenes you know about the moment you get involved with the show. That's such a key, famous sequence. When you find out you are going to direct it you go, "Oh God. I hope I don't blow it." It comes down to these small moments — like when does Peter [Dinklage] see Shae? What's the pace of the reveal? Most importantly, given that they have been so successful in their love story over the past few years, how does it happen that he murders her? It's not like he is Ramsay. Tyrion Lannister is not waking up in the morning wanting to kill people. It was creating that horrible, connective, chaotic moment that launches the murder.

Sibel says Shae picked up the knife in self-defense, but it looks difficult to say who is exactly at fault.

In my mind, every move they make was meant to be self-defense or aggressive and it's hard to say which.

Tywin has a great speech on the privy. What was that like to shoot?

It's probably the only time I'll spend an entire day shooting a scene on a toilet. It was an awkward shooting situation. It was making sure the beats made it clear that Tywin is doing a brilliant job of trying to talk his way out of it, and watching Tyrion to see if it is working. Tywin can't get rid of the way he views women, and that's the thing that galled Tyrion and ultimately why he failed.

You'll be taking time off from Game of Thrones next year. You've set up so many great storylines for season five — is there one in particular you are looking forward to seeing or wish you'd be able to direct?

Besides all of them, I will say Cersei. Lena is such a brilliant actor that I'm really into seeing what she’s going to do next. But also, you saw the finale last night. What do you think is going to happen when Cersei wakes up? Jaime set Tyrion free and he killed her father on the way out. She is going to be really pissed off. I don’t think I'm giving up anything if you think about what Cersei wakes up to in the morning.

Do you have a favorite moment you directed this season?

I'm really grateful that David and Dan gave me so much responsibility, and grateful that I had so much help pulling off what I was trying to do. The crew made stuff happen against all odds. I am just glad we were able to pull it off. Regardless of what people think, it's a very tight budget for what we are trying to do.

Email: Aaron.Couch@THR.com

Twitter: @AaronCouch