Andrea Roseborough on Madonna, Wallis Simpson and the scandal that rocked the Empire

Her most recent movie, W.E., which tells the story of Wallis Simpson and the love that saw Edward VIII renounce the throne, for example, saw Riseborough approached by no lesser light than Madonna, one of the most famous women in the world, who's now trying her hand at film direction.

"Madonna had seen me as Margaret Thatcher in The Long Walk To Finchley," begins the articulate northern English actor, recalling the 2008 BBC Four drama that earned her a Bafta nomination when she was just four years out of the Royal Academy of Dramatic Art. "She'd seen that and a couple of other films I'd done and when I went to meet her I wanted to know what fuelled her passion for the story."

Of course she did: Riseborough likes people who are well prepared. "And meeting her, it was totally infectious," she adds. "She was so ignited with wanting to uncover what Wallis and Edward's lives might have been. It was artistically such a fulfilling experience.

"If I wanted to paralyse myself with fear I could've sat back and gone, 'Oh, now, this is going to be a big leap. This from this.' But I was not going from that to that. In between playing Rose in Brighton Rock and playing Wallis in W.E. I was on Broadway doing a play called The Pride."

As industrious and intense as she is thoughtful and driven, Riseborough offers conversation that builds in torrents, which bubble with ever-greater intensity. Like Thatcher, she has that knack of talking without pause, giving the interviewer little chance of interjection. Maybe she learned that trick on The Long Walk To Finchley.

She certainly exudes confidence and dismisses the reasonable suggestion that her most recent role might have filled her with trepidation. After all, taking the lead in the story of Wallis Simpson, the American divorcee written into the British psyche as the woman who brought down the Empire, is no light undertaking. Wallis's relationship with Edward, Prince of Wales, which would lead to his abdication as king in 1936, earned her few friends among the British public or across the proceeding decades.

"If you allow yourself to be paralysed by fear you paint yourself into a corner, artistically," Riseborough says. Painting her own career freely on film, she came to national attention with her scene-stealing moments in Made In Dagenham (2010) before offering support to Mulligan and Keira Knightley in Never Let Me Go the same year. She also starred in aforementioned The Pride at the Lucille Lortel Theatre in New York this time last year. Other 2011 credits include the films Brighton Rock and Resistance. Madonna, it seems, chose wisely.

"Having someone being interested in you and wanting to meet you, that's exciting," Riseborough says. In truth, when it's Madonna, one suspects it's positively run-around-the-room joyous. "We met, we got on and when that happens in a matter of days you just dive into the abyss and you are immersed."

The film in which Riseborough and Madonna are immersed is an audacious piece that carries Wallis's tale over the course of almost an entire lifetime, and Riseborough shines in every scene in which she stars. This is no regular historical drama, however, with the Wallis and Edward story framed by a modern tale of a woman called Wally (played by Abbie Cornish), which plays out in New York. Madonna didn't want to judge her subject so chose to look at her life through the prism of another young woman's search for ideal love.

"The future character is living vicariously through Wallis Simpson," says Riseborough, "and because of that the film is not a regular biopic. I liked the fact Wallis and Wally had their own relationship in the abstract."

Critics, however, generally do not like the fact Wallis and Wally have their own relationship in the abstract. Many feel as though the filmmaker would have been better served by keeping her narrative focused exclusively on the Wallis and Edward story. Certainly the performances from an effervescent Riseborough and strong James D'Arcy as Edward outshine those of Cornish and actor Oscar Isaac, Wally's modern-day beau. Whatever the critics' opinion of the piece as a whole, few can deny the film sheds much light on an often unjustly maligned woman.

"We all cling on to what we think we know, but the fact was that Stanley Baldwin [the Conservative Prime Minister] created a fantastically successful propaganda campaign around Wallis and Edward, but especially Wallis," says Riseborough.

"Two weeks before the abdication, Baldwin released to the press pictures of this Baltimore divorcee who wanted to steal the king. There she was clad in head-to-toe haute couture and she was wearing British jewels – the monarchy's jewels, given to her by Edward – so of course people weren't going to like that.

"The king was a man of the people – the working man admired him – and they had no idea why he was being taken from them by this ruthless divorcee, which was nonsense. They'd been together for a long time and it had been covered in the inter-national press but here there had been a press embargo. Had the subjects gone on this trip with him, like the rest of the world, then they too would have thought this was the most romantic thing in the world. The disappointment was aimed at Edward; the anger was aimed at Wallis."

Madonna's film shows the sacrifices Simpson herself made, carrying the burden of knowing that a man has surrendered a kingdom just for you. There is indeed much to commend W.E. and Riseborough won't have a word said against her director.

"We had a wonderful relationship and I have every respect for her," she says of Madonna. "She's incredible, a tour de force in herself. She's inspiring." One wonders if the actor was a fan of the director's music, especially while growing up. She declines a frothy or simple answer, and looks somewhat aghast.

"My relationship with her as my director – that's where the interesting relationship lies," she says. "It is intimate. Anything before that doesn't matter, really, because until you work with someone, until you know someone, you have no capacity of knowing what that person is. I think she is an amazing woman."

Given her director's depth of talent, this is no understatement, and Riseborough is nothing if not an artist. She lives in Los Feliz, Los Angeles's most bohemian suburb, with her artist boyfriend Joe Appel, and the pair are planning a joint exhibition in 2013.

When she met Appel three years ago at the premiere of a Woody Allen film in LA they had an instant connection, but then she lost his number. When a search on Facebook returned myriad thousands of men who weren't Appel she gave up hope. Eventually, his number resurfaced, a call was made, and they have been together ever since.

I ask what will be on show at their exhibition. "I can't talk about that right at this moment," she says softly. "It's next year. I can say no more. But art has always been a creative force in my life and I have never really differentiated between that and any other form, if that makes sense."

It does, but one form did evolve into a business decision? "Yes, but you don't really sit down and make decisions like that. At least I don't. I love all expressions of life, and anything that explores facets of human nature. I don't want to get too abstract."

I'm glad she doesn't, but her artistic temperament certainly flourishes to full effect when I ask her about growing up in Whitley Bay in north-east England, and she paints a vivid picture. "It is the strangest thing but when you live so close to something so beautiful as the sea it is the last thing you see all the time because you take it for granted," she says. "What you do when you live next to the sea is to try to protect yourself against it, so we have big coats, we don't open our mouth unless we talk, we don't go out swimming on Christmas Day like somebody who isn't from the north-east may, jumping in, hell for leather.

"I went to school in town so my life was more urban, but of course the salt was in the air and when I think of the north-east I think of it as wild, raw and purple, silvery and relentless, with warm hearths and warm hearts, a vital place. It stays with you. There's a feral quality about the north; it's such great fun to go out there. They're so ready to have fun, brave the elements."

Riseborough moved to Newcastle when she was in her late teens, dropping out of school midway through her A-levels even though she was a star pupil and was all set to go for a place at Oxford University. She took a series of odd jobs before heading off to Rada, but recalls the northern city with immense fondness.

"In Newcastle there are so many different pockets. It is quite a big city. It is gorgeous. It has so many things and wonderful elements – it is like growing up by the sea, in the country and in an urban environment. It has all of the youth culture and all of the antiquity of an older town, which is a wonderful thing."

Her graduation into acting, she says, was a natural evolution. "Acting is something I suppose I have been doing all my life." She recently recalled a story in which she suggested her epiphany came when she was shredding duck in a Chinese restaurant: "It didn't feel like a turning point at the time – duck fat is depressing."

She's now far removed from duck fat – in fact, we've met several times and she herself seems to subsist solely on fruit and nuts, which are always close by, and a variety of teas. Today she looks as pale as alabaster, her finely sculpted features framed by red hair. She's in demand, professionally, and has two more interesting films gearing up for a 2012 release.

At the year's end will come Shadow Dancer, a tough IRA thriller with Clive Owen, which has just finished filming in Ireland. Before that, however, will come Welcome To The Punch, the second feature from rising star Eran Creevy, who made his name writing and directing 2009's Shifty. Riseborough plays a police officer opposite the ever-excellent James McAvoy, who is haunted by a master criminal played by Mark Strong. The filmmakers hope it will play like Heat for a contemporary London. "I thought Shifty, when I saw it, had the potential to pave a new way in filmmaking," says Riseborough. "Eran is something special – there's a total naturalism in his work."

Both Shadow Dancer and Welcome To The Punch are eagerly awaited, and it appears that Riseborough's 2012 will continue in the same vein as the previous two years, her professional ascent continuing as she travels from industry secret through film fans' favourite to household name. The journey might throw up a challenging final stage but Riseborough will be well prepared, no doubt. n

W.E. (15) is in cinemas on Friday.