“The interview itself was the thing that we were most anticipating,” said Sheen.
“I watched that interview in minute detail for months and months many times a day, and it offers up all kinds of things.
“Every time I watch or listen to it, sometimes I watch it, sometimes I just listen to it, and you pick up all kinds of details.
“Having spent so much time focused on that in terms of the research, when you come to actually do it, there’s a lot of pressure.”
The Amazon Prime series comes months after a rival dramatisation of the 2019 interview, Scoop, was released on Netflix.
A Very Royal Scandal’s cast also includes Joanna Scanlan as Amanda Thirsk, Alex Jennings as Sir Edward Young, Éanna Hardwicke as Stewart Maclean and Claire Rushbrook as Sarah Ferguson.
The series debuts on Prime Video on Thursday, 19 September.