Celebrated for his roles in comedy classics like Marion And Geoff, Gavin & Stacey and The Trip with Steve Coogan – not to mention a role in last year’s biggest blockbuster, Barbie – Rob Brydon’s latest outing finds him starring as scheming courtier, Lord Dudley, in comedy-fantasy series My Lady Jane.

Based on the series of novels by Gemma Burgess, the show reimagines the life of 16th century aristocrat Lady Jane Grey as a wild adventure story, teeming with sex, action and a thumping rock and roll soundtrack.

Though her life was short, Lady Jane’s innings was decidedly incident packed. Known as the ‘Nine Days Queen’ due to the the Liz Truss-like briefness of her reign, she was still only a teenager when executed in 1554. For his part, Brydon found the Machiavellian Lord Dudley fun to play.

“A big part of the appeal was that he was very different to Uncle Bryn,” says the Welsh star, referring to his Gavin & Stacey character. “I often get offered sweet natured, good hearted people, so it was lovely to play this kind of a role. Basically whenever he’s on the screen, he has a chance to score – to register with the viewer and make them laugh. It was very appealing, as was the opportunity to work with Jamie Babbit, because I was a huge fan of Only Murders In The Building, which she also directed.

“It was lovely to play that sort of a role and over such a long period. Like I say, it was seven months and I really got to know him. You find him in lots of different situations – as the season progresses, he ends up in a very different place to where he begins. So you’re not playing the same note again and again.”

Emily Bader as Lady Jane Grey, Robyn Betteridge as Margaret Grey, Isabella Brownson as Katherine Grey and Anna Chancellor as Frances Grey

Was there much discussion with the director before playing the role?

“It’s interesting, because initially when I read it, I thought he was a bit like a real life, modern political figure,” notes Brydon.

“I don’t want to say who it is, because I don’t want to be associated with him, but I thought, I’ll just play him like that. However, what happens when you make that decision is that you’re discarding everything you can bring to it. What I tend to do is say, ‘Here’s the part, and here’s me, and where do they overlap?’ So there’ll be a fair bit of me in there, and it’s about where we join up.

“Lord Dudley can charm and be obsequious, but he’s got that hard side and he’s willing to do difficult things. So while I had that political figure in the back of my mind, he’s not as flamboyant as this character. But what that politician is, is someone who speaks in very even tones when he’s saying something awful, so I had a little bit of that. Still, as I always do, I looked to see where I meet the character, and how I could make a nice comfortable marriage between the two of us.”

Do you take much interest in royal historical stories?

“No, to be honest,” admits Rob. “I did what I’ve done before. I previously acted in a Napoleonic project – I think I’ve got the book in the next room here. But I bought it and never read it! I think I did the same with Lord Dudley. I just find it very hard to read a book I’m not properly interested in. I started off with noble intent, the Daniel Day-Lewis approach, but that only stretched as far as growing a beard.

“All I’ve got to do for that is not shave! This uses history as a springboard, but it takes quite a few liberties.”

As mentioned earlier, My Lady Jane boasts an inspired soundtrack, with reworked versions of rock classics by the likes of Bowie, The Kinks and more. Was that aspect always in the mix?

“I think that was the plan,” nods Rob. “I’ve read in the show notes that they’d play the music on-set. I don’t remember that, unless I’m forgetting. But yes, it was always the aim that it would have rock music, and I think the song choices are really spot on.”

As we chat over Zoom, Rob actually has a Bruce Springsteen poster in the background, noting, “I’m a massive fan, I could sit exams on him.”

It turns out he’s a Bowie fan too, though rues a missed opportunity to meet the late icon.

“Bowie was being interviewed by Mark Radcliffe on the radio and I was listening in my kitchen,” Rob recalls. “Bowie was talking about stuff he’d been watching and he mentioned something I’d done called Cruise Of The Gods. He was asked who’s in it and he said (does Bowie impression), ‘Oh, it was that guy from Marion And Geoff’. I was in my kitchen going, ‘That’s me!’

“A few days later, I got an invite from his office inviting me to come see him at Wembley and say hello. This was just before he retired from live performance, because he had a heart condition. The gig was fantastic, and then afterwards, I went through all the corridors backstage to meet him and was told, ‘Just wait here.’ I waited and waited, but it got to the point where I thought, ‘This is ridiculous, I have some self esteem!’

“So we left, and of course I’ve always regretted it, because I never got to meet David Bowie.”

Returning to My Lady Jane, did the director have many notes on the character of Lord Dudley?

“Not in this case,” replies Brydon. “I didn’t audition or anything. I was offered it and said, ‘Yes, I’m gonna do it.’ After that, I met the creative team. By then, I had an idea of how I was gonna play him. At that moment, there is always a slight feeling of, ‘Well, what if they don’t like it?’ I’ve had a few jobs like that, like Barbie. I’ve never met them, and then I turn up on set and off I go. You think, ‘Well, I hope they like what I’m going to do or this is gonna be quite awkward.’ But they did.

“I think they’d looked at my work and I suppose they had an idea what I’d do with it. They were never anything but delighted, and made me feel very relaxed and confident to improvise, which I did quite a lot – there’s a few of my bits in there. That was great, because for me, it makes it even more collaborative and creative. Equally, I’ll offer stuff up and if they don’t want to go with it, that’s fine too. But we seemed to be on the same wavelength.

“I know actors always say this, but we got on very well, and it was really was a very happy ship.” So we’ll be reading the tell-all account in a few years, then…

“Well, there’s always a degree of shenanigans on set, but I would say far less on this than normally!” chuckles Brydon.

Kate O'Flynn as Princess Mary, Will Keen as Norfolk, Jason Forbes as Scrope, Brandon Grace as William, Henry Ashton as Stan Dudley and Isabella Brownson as Katherine Grey

“All the time I’m being directed by Jamie, I’m going, ‘She’s directed Martin Short and Steve Martin. And Meryl Streep. I like this – this is good!’”

Are there any Steve Martin films Rob is a particularly big fan of?

“Oh everything,” he enthuses, “and Martin Short just as much. Out of the two of them, Steve is the one everyone calls a genius because of his stand-up and movies. Martin Short is as talented, but in a different way. You look at Martin Short’s talk show appearances and he’s just glorious. Or you look at his Jiminy Glick character, or Franck in Father Of The Bride; it’s all great.

“Of course, Steve Martin has had – and continues to have – the most incredible career, and this third act resurgence with Only Murders is amazing. It’s interesting to look at that recent documentary and see he wasn’t the happiest of people during his huge success. He was very concerned with career, career, career. He wasn’t really having personal relationships, and he’s so visibly mellowed in recent years. He’s just enjoying life.

“I’m not going to compare myself to Martin Short, but he is more of an entertainer, he likes talk show appearances. I aspire to being as good on a talk show as Martin Short, but I see more parallels with him than, say, Steve Martin. Even mentioning either of these, I’m setting myself up for a kicking! But you know what I’m saying.”

A childhood favourite of mine was The Three Amigos, which featured both actors alongside Chevy Chase in the titular roles.

“Anybody in comedy who hasn’t heard of The Three Amigos,” says Rob, “needs to ask themselves some serious questions.”

Finally, I mention that the first time I ever saw Sharon Horgan was in Brydon’s 2006 sitcom Annually Retentive, a satirical backstage look at a TV quiz programme with echoes of The Larry Sanders Show. Brydon is delighted to see the huge success the Irish actress has gone on to enjoy.

“It’s incredible,” he says, “and I’m a massive fan of Motherland and Bad Sisters. The only thing that bothers me about Sharon Horgan’s success is that when I read glowing profile pieces in the broadsheets, Annually Retentive is never mentioned! It’s like it never happened. And equally, when I read stuff about Julia Davis, it’s like Human Remains never happened! It’s like she started with Nighty Night, so I don’t know what’s going on there.”

Well, I’m happy to rectify that: I happen to think Human Remains – a wonderfully dark series of character studies from 2000 – is a work of genius and maybe Brydon’s crowning achievement.

“Oh well,” he beams, “that’s my ego sorted!”

• My Lady Jane is streaming now on Prime Video.