But she is now getting used to a more theatrical costume for her role as Queen Margaret of Den-mark, in a National Theatre of Scotland production.
Gråbøl is playing the role in James III: The True Mirror, the third of three major historical plays being produced by the NTS this summer for the Edinburgh International Festival.
Written by Rona Munro, the play also stars Jamie Sives as King James III.
The play - to be premiered in August - focuses on the ambitious reign of James III and his resourceful and resilient wife. It will transfer to London in September.
Ms Gråbøl said: "I have never done theatre in English and it will be a great challenge for me, but luckily Queen Margaret is Danish.
"As well as being about Scotland and national identity and all of that, the play is also about relationships."