But the Gavin And Stacey actress put her foot down when she was asked to take a dip in the bitterly cold sea - with a local pony in tow.
"Before the director went to the islands, he said, 'There's this girl and she swims with a Shetland pony in the sea, would you be prepared to do that?' And I said, 'What?"' recalls Steadman, back in the comfort of her home.
"I can swim and I love the sea, and I love Shetland ponies, but I just knew that the temperature was going to be minus something or other in the sea.
"I'm nearly 68, I'm a pensioner," she exclaims. "I'm not 21 any more."
Steadman was very fond of the pint-sized ponies, but admits that even feeding them proved nerve-racking.
"A horse will gently take from you. This thing just grabbed the carrot out of my hand! I thought, 'Oh my Lord, I could have had my fingers off, easy'. Thank goodness it was a very big carrot."
Lifelong nature lover Steadman had always dreamt of visiting the Shetland archipelago, which spans across about 100 islands and is inhabited by around 23,000 people.
Growing up in the suburbs of Liverpool, a school nature trip at the age of nine cemented her love of wildlife.
"As a child, my favourite thing in the summer was rummaging around for different kinds of caterpillars. My grandma used to know and feed all the birds, so you grow up knowing and listening.
"That moment [on the school excursion], we were all on a country walk, going along a country lane and I could hear the blackbirds, so distinctive and loud. So I started impersonating them. I remember the teacher saying, 'That's really good'."
She adds: "We had a little party at the end of the week on the Friday night, before we were going home, and everyone had to do a turn, sing a song or whatever. My turn was doing birdsong.
"When I think of it now, the teachers must have been stuffing hankies in their mouths laughing..."
Steadman - who has two grown-up sons from her former marriage to Abigail's Party director Mike Leigh - lives in Highgate, north London with her partner, actor Michael Elwyn, who shares her passion for nature and birds.
"We love walking together, going to nature reserves. We often visit Rainham Marshes, an RSPB reserve not far from here. We love it.
"We've got our feeders where we live and he helps to do those. He loves it."
Visiting Shetland was a welcome break from the rigours of city life, however.
"Not that I don't love people, but our cities now are so crowded. It was great to be in a place where if you didn't want to see anyone, you didn't have to, because there was nobody there!
"And the sky is so clear, it was great. And, of course, the other thing that comes from that is wonderful fresh air, so you can breathe without taking in a load of fumes."
l Alison Steadman's Shetland, STV, Tuesday, 9pm.