Warning: Major spoilers for season three of The Great ahead—proceed with caution.

“Grief is fucking weird.”

Those words, uttered just moments after The Great kills off one of its two main characters, are a harbinger of what’s to come in the newly released third season. While Elle Fanning’s Catherine the Great has dodged death threats and political coups since touching down in Russia, the queen is safe—for now. Instead, it’s her lovably obtuse and oddly tender husband, formerly known as Peter the Great (played by Nicholas Hoult), who meets his demise in the season’s sixth episode. 

Circumstances around the actual king’s death remain murky—but it’s been widely reported that Peter was assassinated by Alexei Orlov, younger brother to Catherine’s then lover, Grigory Orlov, while jailed. The show takes a steep departure. Plagued by the fear that he be remembered only as a doting stay-at-home husband to his powerful wife (“Yeah, ’cause that’s what history remembers—good fathers,” an adult-sized hallucination of his newborn son, Paul, taunts), Peter sets forth on an ill-fated invasion of Sweden. Catherine attempts to ease his worries and halt the mission, but Peter won’t be deterred. He proceeds on horseback across a frozen lake—stopping to turn to his wife with a faint, “Actually—” before promptly falling through the ice as Catherine watches in horror. 

“Gosh, that whole day was filled with so much emotion,” Fanning tells Vanity Fair. “[Series creator] Tony [McNamara], Nick, and I, we went into the woods secretly before the last shot we had together. We took a little vodka shot and did a cheers. That was a very special moment.” Once the last huzzah had been uttered, Fanning was left to lead the show without her other half and—eventually—make the loss worth laughing about. 

“I was most scared of the episode after his death,” she says, “which is when Catherine’s in her manic grief and extreme denial. I was putting a lot of pressure on myself to portray that in a certain way…. It was like, wow, well, Nick’s gone. [It’s] such a hole in the show…. I didn’t want it to go downhill…. But also now a big death has happened, and we don’t want the show to get sad because we’re a comedy. It’s this tightrope of battling the tragedy and the comedy and the absurdist.”

Fresh off her appearance at the Met Gala (Billie Eilish and Finneas O’Connell were two of her tablemates), Fanning spoke to VF about mourning her royal partner and how that musical ending brought her real-life catharsis: “I started [the show] when I was 20, now I’m 25. So a lot of these experiences have molded me.”

Vanity Fair: Before we get into this season’s major event, I want to ask about the state of Peter and Catherine’s marriage in season three. They’ve decided to move on from some sizable hurdles, but they’re still sleeping with knives underneath their pillows. What is it that keeps them so invested in each other?

Elle Fanning: Obviously, it’s complicated, but I do believe that it’s a matured love in season three. In season two, Catherine—at the end, when she stabbed Pugachev thinking it was Peter, her guttural reaction to that made her realize, oh wow, I can’t lose this person. Because in a lot of ways, he’s the only one who understands her fully at court, which is really fascinating. He’s ruled the country. Whether you think he did it badly or not, he does know the pressures of that unlike anyone else. So Catherine realizes that he does truly see her for who she is and she doesn’t want to lose that companionship.

It’s interesting the way that we play with Catherine’s maternal instincts, because I don’t think she’s very maternal. But he is an excellent father, and she finds that really endearing about him. It is extremely complicated, too, because in a way he also stands for things that she does not stand for. She’s very progressive, trying to pass through things he’s completely against. We try to outlaw murder this season as well, and he thinks that’s completely absurd. I guess it shows that they have such a difference of opinions, but they just can’t get away from each other. 

At what point did you find out that Peter would be dying?

I actually knew season two that Tony had floated the idea around of, in season three, having Peter go. We don’t hold ourselves to historical facts, but we also realized something had to push the story forward in a big way. The big question was, when were we going to have that death occur? People thought it would be at the end of season three. But Tony thought that having it in the middle would push the story forward and also wrap it up in a way that we could create a new show, almost. The back half of the season has such a new energy to it and would give the audiences enough time to recalibrate and process the death. 

Between Succession and this, I have trust issues!

I know! I called Nick after [Logan’s death on] Succession. I was like, “You’re in good company.” We didn’t know that was going to happen, obviously. But it is funny, right?

That final scene between Peter and Catherine is so emotional—at one point she says, “We have rewritten each other in the best, most infuriating way—that is enough,” and he replies, “It’s close to enough.” Do you think that’s their fundamental flaw, that this dynamic would’ve never been enough for him?

That’s the sadness of it. Catherine can push him to his limits, both of them can. There’s nothing that they won’t accept and they’ll apologize and accept their apologies—[Catherine for Peter] literally sleeping with and killing her mother, [Peter for] watching me stab him, essentially. And their love is enough to overcome those terrible things. It’s the outside sources that are ruining it. The apparitions he’s seeing of his father, the court, they’re convincing him. If it was just them on an island somewhere, they’d be great. But what’s inevitably his downfall is his ego. And I love that line, too. 

I really was crying for real that whole day. It was hard to get through, just knowing that we would never perform these characters again together was really emotional for me. We’ll work together again, but we’ll never be Catherine and Peter again. And that scene is so beautifully written. We knew that it had to encapsulate their entire relationship in like 12 pages, in Sweden on the ice. He just wants to also secure that legacy for his son. I think that’s really nagging at him that his son’s going to grow up and think that he didn’t do anything with his life. But then it’s like, gosh, when he turns around on the horse, I think he’s coming back.

I did too. Any theories about what Peter was going to say to Catherine when he turned around to face her on the ice?

I think that he was going to come back, but that’s my romanticism. I didn’t know how he was going to die. So I’m like, am I going to kill him? That would be a stretch. Because I do think that we’ve gotten to this point in the relationship where we’re super together. And then Tony’s like, “No, no, it’s going to be a complete accident.” But also it’s from his own doing. He can’t accept the life he's been given. So it is a poignant death.

The close-up look on your face as Peter goes through the ice is devastating—how did you approach those initial scenes right after it happened, when she’s utterly numb?

All of it was green screen, so you are just imagining. But I feel like now having played Catherine for these three seasons, I’ve grown with her so much and now I just truly know her. It’s cliché, but she’s inside me. The emotions were definitely at the surface. But I do think it’s an interesting reaction as well. She’s in such shock and disbelief at that moment. We can’t give it away that she believes that he’s gone. It’s such a stillness and she chooses to believe that she dreamed it. She’s pushing it down so much. 

Catherine does quickly go into this frenzied state of denial, which is very clear in that scene where she feverishly plays badminton with herself. What was that like to shoot?

Well, actually, I had a broken wrist that day.

Oh, wow!

Because of Nick. [Laughs.] We had an ’80s roller disco to celebrate the midpoint of shooting. And I fractured my wrist. I’m like a masochist, [saying] “Let’s go, anything for Catherine!”

Tony had listened to an episode of the This American Life podcast, it was about this father and daughter and the mother had passed away. The daughter is retelling this manic grief that her father went through that was very alarming to the family because it was pure mania. Tony took inspiration from that episode. We film chronologically. And I mean, once Nick had died, Peter was gone. Obviously, he’s Pugachev [Peter’s hired look-alike]. But not having Peter’s presence there, we all felt that emptiness and you could feel that on the sets. It was palpable. 

Some of my favorite moments from you are when the reality of what happened starts to nudge its way into Catherine’s psyche—watching Katya’s unflattering play about her, tasting the salty dessert Peter was working on. How did you modulate your performance to reflect that emotion settling in?

She tricked her body into really not knowing [if he was dead or not]. So it’s almost like someone who’s awakened and had a brain injury. That train is slowly coming and creeping in. And it first starts at the play, for sure, because they’re making fun of her so bad and she’s trying to keep it together, that feeling you get where you’re like, “God, something is wrong and I don’t know what it is” in your stomach. Then not until she eats the salty dessert does it really finally hit her. It’s a scary area to live as an actor, [but] that’s the thrill of it. I love feeling scared of a scene.

Catherine also wears a lot of Peter’s clothing while grieving, much like Peter did with his own parents. What was that like for you?

I was sending so many fitting photos to Nick. I’m like, “Ha ha! I’m in all your clothes. I’ve stolen everything.” But that was very important to me. She just wants to be close to him and also can’t be bothered with the corsets and the layers and the crazy dresses. She’s given up. I’ve always loved how Catherine doesn’t always grow upwards. She grows diagonally. She’s definitely faltering. I wanted to wear these bloodshot contacts to really make it look like she’s just a mess and not sleeping at all. Even just wearing those Nick’s giant coats, being barefoot, and walking through the halls, there’s just a slump.

Peter is dead, but his presence lingers a bit in Pugachev—was it strange to have Nick still on set? 

Super weird. We had so many goodbyes for Nick on this show this season. [laughs] We’re like, he’s wrapped out five times already. By the end, we’re like get out of here! I think it was episode nine, and he’s doing his big Pugachev speech. That was technically the last scene we had together. He is so brilliant at being Pugachev, because he’s so unlike Peter. It’s calibrated so perfectly. But I prefer Peter, always tell him that. When he comes on set as Pugachev I’m like, “Oh, no!—the teeth!”

I have to applaud you for the season’s final scene, which is an extended dance sequence—you’re laughing, you’re crying, you’re moving. How did it feel to film that scene?

I got the script, it said: “She starts to dance wildly.” And that was it. I dance a lot by myself, I am known to do that. So I was very much looking forward to that scene. It was a catharsis for me in putting a chapter of this show behind me—Peter and Catherine’s story, that was such a big part of my life for so many years. I started [the show] when I was 20, now I’m 25. So a lot of these experiences have molded me. 

Being able to just dance and not speak, which is really interesting in a show that’s so much about the language, to just have a silent moment. And I picked the song [“You Shook Me All Night Long”]. I love AC/DC and dance to them. So I came in for a rehearsal and I was like, “Tony, I’m going to dance for you to this song and I just want you to see if you like it.” And he really thought it worked. I’m very happy that we got to have that. She just looks freshly right out of the shower—it’s wet hair and a navy dress that goes into black, really cool. And she’s not a child anymore. She’s come so far.

The ending could be read either as the closing of a chapter, or as Catherine just getting started. How do you feel about a fourth season?

I would love to go back, I really would. We don’t know yet. But I want to close it out knowing that it’s our final season [so] we can savor every moment. I do recognize that if it didn’t happen, it does close [the show] in a way. But it’s so juicy to get into this next chapter because she’s such a different person. And I want to wear that wig again—I love the short hair. 

This interview has been edited and condensed.