'Downton Abbey' 's Michelle Dockery and Elizabeth McGovern Are 'Obsessed' with' Real Housewives'

There's plenty of drama in the British period movie Downton Abbey: A New Era, but two of its stars are preoccupied with antics going on in the 90210 zip code.

During a joint interview with PEOPLE to promote the film, Michelle Dockery and Elizabeth McGovern admitted they can't get enough of Bravo's unscripted hit The Real Housewives of Beverly Hills.

"We're obsessed," said McGovern, 60, who plays heiress Cora Crawley, Countess of Grantham.

"Absolutely obsessed," added Dockery, 40, aka McGovern's on-screen daughter, Lady Mary.

In fact, she says, it was McGovern and costar Laura Carmichael, who plays younger sister Edith Crawley, who introduced Dockery to the long-running series. "I wasn't into this show before Elizabeth and Laura were like, 'You need to get into this show,' " continued Dockery. "So, I went straight in at season 1 during filming. If anyone wants to know what I was doing while we were doing the Downton Abbey 2 film, I was watching The Housewives of Beverly Hills."

Watch the full episode of Double Talk: Elizabeth McGovern & Michelle Dockery on PeopleTV.com or on the PeopleTV app.

Dockery says she'd screen the series in between takes and during meals: "On my lunch break, I'd have my iPod on, and I would be catching up on episodes."

The Real Housewives of Beverly Hills, which had its 12th season premiere in early May, follows the ups and downs of well-heeled women Kyle Richards, Lisa Rinna, Erika Girardi, Dorit Kemsley, Garcelle Beauvais, Crystal Kung-Minkoff, Sutton Stracke and Diana Jenkins, a group of friends who are often feuding.

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Though Dockery was all caught up on the drama at the time they spoke to PEOPLE, McGovern hadn't yet seen the first episode of season 12. "Don't tell me," she told Dockery, who responded, "I'm not going to tell you anything."

Their mutual love of the reality series is one of many things that bond the women, who became fast friends on the set of the original PBS series Downton Abbey, which aired from 2010 to 2016 and spawned the hit 2019 spinoff movie of the same name.

"I immediately adored Elizabeth. And we all became very close very quickly, didn't we?" Dockery asked McGovern, who agreed. "We did. My first scene with Michelle, I remember thinking, 'Oh my God, I've got to watch this girl because I have a lot to learn from her.' The way I cut my teeth in the business, it was a lot more coddling. There was a lot more rehearsal and discussion in theater. I saw Michelle just do it and not make a thing of it and do it brilliantly. And I remember thinking, 'Oh my God, I have to pull my socks up here.' "

Downton Abbey: A New Era premieres May 20 in theaters nationwide.

For more exclusive content from Downton Abbey's cast and creators, pick up PEOPLE's Downton Abbey special edition, available now wherever magazines are sold.