There were days on the set of “The Penguin” when Cristin Milioti would have to eat alone.

The actor who plays Sofia Falcone in the HBO series never went method (unlike some Batman villains), but the part required tapping into a character who has been gaslit, manipulated, and isolated from society in every way. It also required taking care of her body for the more physical scenes.

“I had to lay down and stretch a lot, because I was in those chains where you can’t move, and when you’re getting dragged your muscles are doing weird things,” Milioti told IndieWire. “I would spend my lunch stretching my back out and stuff like that.”

Milioti always dreamed of being a Batman villain, a dream that seemed far out of sight even as superhero stories ballooned into the content machine they are now. She was shocked in the best way to tackle Sofia,...