Forget spaceships and a brooding Agent Mulder, Gillian Anderson will settle for a powerful car and a long stretch of open road. The thrill-seeking actress, who shot to fame in the science fiction series The X Files, would particularly like to pit her driving skills against the Stig on the Top Gear racetrack. “I would love to be asked,” she says. “I might spin out of control and end up on the wet grass, but I’d enjoy the competition.”

Anderson throws herself into life with the same unbridled gusto, and with similarly predictable spin-offs. Her first marriage to Clyde Klotz, assistant art director on The X Files, ended after two years and she separated from her second husband Julian Ozanne, a former foreign correspondent and documentary film-maker, just a few months before announcing she was having her new boyfriend’s baby.

Now, with six-month-old Oscar to care for, Anderson claims she is “slowing down”.

She’s going to have to tame her driving as well or boyfriend Mark Griffiths has ways of putting the brakes on – he owns MET Parking Services, a private clamping firm based in north London.

Anderson, who was born in Chicago but spent much of her childhood in London before her parents moved back to the United States when she was 11, was determined to get behind the wheel as quickly as possible and passed her driving test shortly after her 16th birthday.

Her first car was a Volkswagen Rabbit (the American name for a Golf) – a present from her mother when she moved to college in New York.

As soon as she’d saved up enough money, she changed it for a more powerful car. “The first car I bought for myself was a used black BMW 325i,” she says. “That car was fast and fun. I’ve also had a Porsche Boxster and a Porsche 911.”

But Anderson, who blamed boredom for the demise of her first marriage, has now managed to wean herself off her love of sporty motors and settled for a steady, reliable automatic Audi A6 estate. “It feels a safe car,” she says. “And it’s a tiptronic gearbox, which means I can switch to manual if I want to.”

The Audi is now parked outside the £3m home in Holland Park, west London, she shares with Griffiths, just down the road from the house in Notting Hill she once shared with Ozanne. Of her hectic love life she says: “It is not dull.

“I would never point a finger at anyone and say, ‘They lived their life badly.’ I take it as it comes and deal with each situation as it arrives. I cannot pretend it has always been easy. I have a natural inclination to follow my emotions. That does not always make for an easy, straightforward life. It means that I have had interesting times.”

After nine years in The X Files, she has gone on to star in films such as The House of Mirth and The Last King of Scotland and won a Bafta nomination for her portrayal of Lady Dedlock in the 2005 BBC adaptation of Bleak House. But for many she will always be FBI Agent Scully.

“I have to be grateful for Scully,” she says. “She has allowed me to take risks and to have the safety of being able not to just go for the money.” Did she worry about being typecast? “Well, I have to work a little harder to prove myself.”

Her latest film speaks for itself. Straightheads, which was released on Friday, was shot on a budget of just £1.8m, slightly less than the catering and transport budgets for most major movies. It is a hard-hitting drama from Dan Reed, a writer and director, whose previous work includes documentaries on Kosovo and Chechnya. “I have no doubts about the film or my reasons for being in it,” says Anderson. “I play a tough, ballsy character. I know Scully was a bit like that, but I always wanted grittier.”

She certainly achieves that in Straightheads, the name of which is based on slang for criminals who have no previous history of crime. She plays Alice, a highflying London businesswoman who was brought up in the country.

She has no time for relationships because she is working so hard for the next big pay-day. So when she meets a high-tech expert (Danny Dyer) setting up a security system in her London home, she spontaneously invites him to be her escort at a party near her old home. The night proves to be part pleasure but mostly disaster. She enjoys no-strings sex with her new partner but is later attacked and raped.

Alice’s attackers could not have picked on a more vengeful victim. Instead of dealing with the police, she decides to conduct her own investigation and extract retribution. How far is she willing to go? And can she draw Dyer’s character, who seems to want to forget the whole nightmare, into her plan for vengeance?

“I was both shocked and excited by how far the story was prepared to explore Alice,” she says. “That is what appealed to me most. My character was brought up in a cottage with a father, who was ex-special forces, teaching her how to use a gun and prepare herself against the world. Nobody usually messes with her. What would that mean when someone finally does?”

What it meant to Anderson was a 30-day filming schedule, plenty of night shooting and an explicit love scene with Dyer that needed a battery of heaters so their breath would not show in the freezing night air.

“My dress was being kept up by two pieces of tape,” she recalls. “But it was so cold the sticky tape was not working. Danny’s job was to hold part of my dress up and to cover up the tape while pretending to have sex in the middle of a forest. At moments like that you do think, ‘What the hell am I doing here?’”

On her CD changer

Arctic Monkeys, Johnny Cash, Elton John, some Fleetwood Mac, Red Hot Chili Peppers, Arcadia and Zero 7. I have fairly wide tastes

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