Headey has explained that she has suffered from bouts of depression since she was a teenager, though her worst days are long behind her. Back in 2007, she opened up and told Female First: "I was diagnosed when I was 15, and it comes and goes. I may suffer from it once or twice a year, but I now recognise it and deal with it. I don't use medication because I'm so worried about becoming dependent on it, but I can understand people who do, because you do go through the most horrendous feelings of isolation. "When the depression comes, it's very intense and you can't see beyond it."