The final series of the epic fantasy drama airs next month.
Clarke, who shot to fame in her role as Daenerys, said that she walked around London for “three hours aimlessly” after being handed the script for the last instalment.
“It might as well have been raining and I would’ve just walked in it not knowing what to do,” she said.
There were “loads of tears” filming her last words, she said, adding: “That was the moment I realised that alcohol can also be a depressant.
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“I was kind of nursing a glass of wine going, ‘I don’t know why I’m not getting any happier from this!'”
Comparing herself to her very first day on the set of the blockbuster, she said she felt “equal amounts of fear”.
Her comments come after co-star Kit Harington, who plays Jon Snow, said he experienced “grief” after filming the end of the show.
Jacob Anderson, who plays Grey Worm, has said he wanted to mess up his final take to draw out his last moments on the show.
The actor said it was emotional shooting his final scene.
He said: “We don’t shoot consecutively, so it’s not giving anything away, but the person I was having to look at, when we knew it was the last take, we were looking at each other, and they were just about to roll and both of our lips started going, and then our eyes started twitching…
“We joked about, ‘Let’s keep messing it up so it doesn’t have to finish’, but then we ended up actually messing it up because we were starting to cry and it was really… that sense of not wanting it to end, trying to hold on to that last moment.”
Anderson’s co-star Joe Dempsie, who plays Gendry, said: “It was a very weird atmosphere, because you’ve been aware for a long time that this point is going to come, but even when you’ve only got three days left, and then two days left, it’s still an abstract concept in your mind, and then one day left.
“And then as that day’s progressing you’re looking at the clock, and it was a very strange, subconscious countdown.
“And I don’t think I knew how I was going to react until the end of the day was called, and then yeah, crying apparently was how I reacted.”
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The epic fantasy drama, also starring Sophie Turner, Maisie Williams and Lena Headey in the final series, is returning after a near two-year wait.
The final series of Game Of Thrones will air on April 15 at 2am and 9pm on Sky Atlantic and NOW TV. All episodes of Game Of Thrones from series 1-7 are now available to watch on Sky Atlantic and NOW TV.
Reporting by PA