The Danish actor, who played Jamie Lannister in the HBO series for eight seasons, told The Independent that he was able to move past the show much quicker than his younger co-stars.
Coster-Waldau appeared on the show up until its divisive final season aired in may 2019.
When asked if he missed playing Lannister at all, Coster-Waldau asked: “Shall I be honest now?"
'What I think you’d want to hear if I were you is, ‘Oh God, I was depressed for weeks; it was so difficult to get over it.’
He continued: "We’d spent 10 years together so, by virtue of that, it was an emotional moment because it suddenly came to an end. But half an hour later?”
The actor said that he spent a decade learning projects “come to a natural end”, which has helped him move past roles he spends a longer amount of time on.
Coster-Waldau’s other credits include the 1994 thriller Nightwatch as well as films Black Hawk Down, Oblivion and Gods of Egypt.
His latest film, The Silencing, was released earlier this year.
Read the full interview with Coster-Waldau here.