Lena’s Game of Thrones co-star Peter Dinklage made some comments on how it is to work with Lena and also tells us that they are good friends.
Nothing says “occupational hazard” like the piercing eyes of Cersei Lannister – and it didn’t take long for Peter Dinklage to realize just what a handful the queen could be. “Tyrion’s relationship with Cersei is…oh God, it’s really difficult,” he says. “They’re constantly battling one another. Unlike my relationship with Lena Headey, the actress playing the role – I’m really good friends with Lena, and we’re very upset that we don’t have more scenes together this first season. But it’s really tempestuous because both of them see through each other’s veneer and pretensions and all of that. Tyrion and Cersei are both fraught with those. So I think people who see each other for who they really are have a hard time being around each other in pleasant company…”
Source: Making of ‘Game of Thrones’