From Wallis Simpson to Margaret Thatcher and First Lady Eleanor Roosevelt, her portrayals are uncannily well observed.
However, her latest role - as Newsnight journalist Emily Maitlis opposite Rufus Sewell as the Duke of York in the Netflix drama Scoopwas a whole other challenge.
A highly regarded TV journalist, Emily reached a global audience after holding Prince Andrew to account on the BBC show in November 2019.
"It was the first time I've played a real-life character who is still alive and I have to say, it's more daunting playing an Emily Maitlis than a Margaret Thatcher," says Gillian, 55. "People know Emily so well.
They listen to her daily, they watch her and have done for years. And also, with this interview that is the subject of our film, it is etched in people's minds.
"It was a really important moment not just for journalism but these two institutions of the BBC and Buckingham Palace, who were facing off, in a sense." Surrounded by all the grandeur of Buckingham Palace, Emily's interview is a high-water mark for journalism and compelling viewing.
Told through the eyes of Newsnight producer Sam McAlister, played by Billie Piper, Scoop explains the events leading up to it.
However, stepping into Emily's skirt suits and sleek bob, Gillian discovered she had little in common with the award-winning journalist.
"She runs and does cold-watern swimming and she is a mum of kids and she's known in the UK as being able to balance and handle it alland so those are fun traits to have an opportunity to play. But I'm not a runner or a swimmer." US-born Gillian, a mum of three, moved to London more than 20 years ago, effectively reinventing herself after starring in The X Files with roles in hit TV series including The Fall and Sex Education.
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