“Before we started shooting Mosaic, he had come to me with this experimental version of it,” Ferrin, 39, tells PEOPLE. “We were going to shoot for one day. I had no idea what it was, but it was Steven, so I said, ‘Absolutely.’ ”

The six-part miniseries follows the killing of a children’s author in Utah, and nearly every character holds a clue to the mystery, but they aren’t exactly certain how everything comes together. The cast also remained in the dark for a while.

“What was really fascinating was that the script — which would typically be about 130 pages — was well over 500 pages,” the Time After Time actress says. “I was sent about 100 pages that was just my character, Petra, and scenes that she has with other characters, but none of us received the entire script of all the scenes.”

The accompanying Mosaic app gives viewers a choose-your-own-adventure version of the small-town murder mystery. “The fact that he could weave these stories, and the magic of this kind of storytelling, with the narrative shifting, then having an interactive experience later on is just genius,” Ferrin raves of director Soderbergh, whom she also worked with on The Nick.

Ferrin calls her character a “misunderstood, abandoned woman” whom she enjoyed exploring.

“She’s betrayed by her brother and all of this dark stuff, and yet she’s trying to look past it all,” she explains of Petra. “She keeps herself very guarded; She’s just someone who doesn’t feel like she can trust anyone. I had a really phenomenal time digging into who she was.”

As the thriller moves closer to its conclusion, Ferrin acknowledges just how confusing the story becomes, warning, “It all moves very quickly!”

Mosaic, also starring Sharon Stone and Garrett Hedlund, airs nightly on HBO at 8 p.m. ET, until its two-part finale Friday.