Rachel Brosnahan Reveals the 'Hardest Thing' About Moving on from 'Mrs. Maisel' (Exclusive)

Rachel Brosnahan says she has had a tough time moving on from her beloved role on The Marvelous Mrs. Maisel.

While on the red carpet premiere for season 5 — the show's final — in New York City Tuesday, the two-time Golden Globe Award winner spoke about the difficulty of letting go of her character, both physically and emotionally.

"They become a part of you. You become a part of them in ways that you can't articulate," Brosnahan, 32, told PEOPLE from The Standard, High Line hotel, wearing a red corset paired with an ankle-length sparkly red column skirt and red strappy heels.

The Milwaukee native has played the series lead, housewife-turned-professional-stand-up-comedian Miriam "Midge" Maisel, since 2017.

"The hardest thing was moving just a couple of weeks after we wrapped into this play, The Sign in Sidney Brustein's Window, that I was doing at BAM," Brosnahan said of the immediate transition into another project. "I realized how much, physically, [Midge] was a part of me that I didn't realize it's hard to let go of that fast-paced dialogue."

The Brooklyn Academy Theater (BAM) production, which opened in February to a sold-out run Off-Broadway, is set to culminate the 2022-2023 Broadway season, according to the play's release. The 80-performance run officially opens April 27 at the James Earl Jones Theatre.

As part of her closure for wrapping Mrs. Maisel, Brosnahan shared one last shot on Nov. 5 from her final day on set and penned a short thank you on Instagram to the cast and crew of the hit Prime Video show.

"That's a series wrap on The Marvelous Mrs Maisel," the actress wrote, her back turned to the camera in a doorway, appearing to be physically leaving the set. "This thing was lightning in a bottle. A cast, a crew and creators who got to time travel for 5 years together. It changed my life. I'm eternally grateful. I'll have more words later, but for now … "

"Thank you and goodnight," she signed off, quoting her character's signature end-of-set line.

As for the show's final season, Brosnahan was asked at the 2022 Emmys about what viewers can expect, and said at the time that she had "no idea where we're headed," but that she was "terrified and excited."

"[Series creators] Amy Sherman-Palladino and Dan Palladino keep raising the bar for us season after season and they've just given us so much to do and so much to play with," the actress shared. "So we're about three-quarters of the way [through] shooting our final season, and it's been as much of a rollercoaster as ever … I can't wait to share it with everyone."

Season 4 followed the ever-confident Midge getting back on her feet after being dumped from fellow comic Shy Baldwin's (LeRoy McClain) tour in season 3.

After moving back in with her parents (Tony Shalhoub and Marin Hinkle), beginning an affair and starting work as a strip-club emcee, Midge will re-enter the comedy scene in season 5 — and she'll be ready to climb to the very top.

According to the show's streamer, season 5 will see Midge "closer than ever to the success she's dreamed of, only to discover that closer than ever is still so far away."

The teaser trailer shows Midge bombarded with paparazzi cameras as she strikes a pose and turns her head to the side in confidence.

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Expanding on Tuesday what it felt like during that final day on set of Mrs. Maisel, Brosnahan told PEOPLE, "It was emotional, close."

"We felt so lucky to all be there together," the Emmy winner added. "We had the entire family and almost every character who had been on the show for any significant amount of time over the five years there. So we got to close the chapter together and it was pretty good."

The Marvelous Mrs. Maisel will debut the first three episodes of its fifth and final season Friday on Prime Video.