“When you’re younger, you worry whether you can do it at all. Later on, it’s about whether you can do it as well as you want to,” admits Dame Harriet Walter who, despite being a regular at the world’s top theatres, had genuine concerns about doing her most recent productions justice.

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At the end of last year, she was in a trilogy of Shakespeare plays performed by an all-female cast at a temporary theatre location next to King’s Cross and St Pancras railway stations in London.

The productions were a huge success – a film recording of one, Julius Caesar, is released in cinemas this week – but, early in the run, the location gave the actress a temptation that she had never previously encountered.

“When it got really terrifying, I did think,” she says, “that I could just walk across the road and get on the Eurostar. And I’d be in another country before they’d noticed I’d gone. A couple of times, I came close to doing a ‘Stephen Fry’.” She is referring to the actor’s sudden disappearance from the West End production of the play Cell Mates in 1995, when, suffering depression and stage-fright, he fled by ferry to Belgium.

Walter was largely joking – “I’d say it to the stage manager, just to panic her” – but the project was terrifying because she was performing three major roles (sometimes all on the same day) that traditionally belong to the male repertoire: Brutus in Julius Caesar, the title role in Henry IV and Prospero in The Tempest.

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The conceit behind these versions – created by Mamma Mia! and Iron Lady director Phyllida Lloyd for the Donmar Warehouse – is that the plays are being staged in a women’s prison. Around the performances, we get glimpses of the prisoners, whom the actors were encouraged to model on an actual inmate.

Walter chose Judy Clark, an American radical activist who was sentenced to 75 years imprisonment after a 1981 New York bank raid. “I met her twice,” Walter explains. “And she gave me letters and diaries to use as background.”

Gender-bent Shakespearean casting has become fashionable in British culture. Sometimes the roles are feminised: at the National Theatre Tamsin Greig played the steward Malvolio as a lesbian Malvolia, while Helen Mirren turned Prospero into Prospera in a 2010 film of The Tempest. Conversely, Glenda Jackson and Maxine Peake have recently played King Lear and Hamlet as men, while the Donmar trilogy finds a third way.

“You have to know exactly why you’re casting women,” argues Walter. “What I liked about Phyllida’s versions was that she had a reason why women would be playing all these roles.”

A major rationale for the increasing female takeover of male classical characters is that, whereas Shakespearean actors have major roles from youth (Romeo) to senility (Lear), for actresses, as Walter puts it, “the road runs out pretty soon”. Beyond Cleopatra, there are just a handful of minor mothers or family retainers.

“I can see that some people would say: do other plays instead, or TV or film,” says Walter. “But we want to do this Shakespeare guy as much as we can. Why? Because no other writer matches that mind and language. And, also, you take a long time learning how to play Shakespeare. So, if you stop, it’s as if you have spent decades learning French, and then are told you can’t speak it anymore.”

Between theatre roles, her screen CV has lengthened in recent years, including supporting roles in two high-profile franchises: Lady Shackleton in Downton Abbey and Dr Kalonia in Star Wars Episode VII: the Force Awakens.

Walter laughs: “My strangest experience was my six words in Star Wars. I’ve had more fanmail from that than anything I’ve ever done.” She judges new scripts by three criteria: “Is it a great part? Does it pay reasonably? And would it further my career? If it does any two of those, it’s worth doing. I’m lucky, not having children, that I have been able to be choosy.”

A good recent example of a role that met all three of her rules, she says, was Lady Clementine Churchill, wife to John Lithgow’s Sir Winston, in well-received Netflix series The Crown.

But, despite her occasional glances at the Eurostar terminal while playing Brutus, King Henry and Prospero, theatre is where she feels most at ease: “I’m increasingly at my most relaxed and least uptight on stage. Film and TV is scarier because there is often no rehearsal and you have literally just met the person playing your husband or whoever. So it’s much more nerve-racking.”

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Donmar Presents Julius Caesar is in cinemas from Wednesday 12 July

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