Gillan has given and interview and taken part in an exclusive photoshoot for the TV listings magazine.
"I wasn't sure if I was going to meet him," Gillan tells Radio Times. "Then I got this call saying: 'You're doing a shoot with David Bailey.' Never in my wildest dreams did I think that was going to happen. And I'd done so much research on him that I thought I had an idea of what to expect."
She didn't. "He's a funny one, David Bailey. He plays mind games to provoke his subjects.
"He kept shouting, 'Surprise me! Do something!' He seems to build up your confidence but then knock it back down again. He kept on saying to me, 'You're pretty but pretty girls are like red buses.'... He meant being pretty is not enough to make an interesting portrait, essentially."
The 21-27 January edition of the Radio Times is on sale until Monday 23rd January.
We'll Take Manhattan will air on BBC Four at 9.00pm on Thursday 26th January 2012.
(Source: Radio Times)