Naomi Watts on her new movie ‘The Friend’ and David Lynch.

The last time Naomi Watts saw David Lynch was in late November.

“We had a beautiful lunch at his house,” she recalls of an afternoon spent with the director and fellow Lynch muse Laura Dern. “I knew he’d been unwell but he was in great spirits. He wanted to go back to work — Laura and I were like, ‘You can do it! You could work from the trailer.’ He was not, in any way, done. I could see the creative spirit alive in him.”

Watts says all this with a warm, sad smile, as if still living in this final memory of the filmmaker who changed her life by casting her in “Mulholland Drive” — not just a visionary but someone close to her. Then she sighs. “So deeply, deeply upsetting.”

Grief, it seems, has never been far from Watts’ door. Her father died when she was 7, a death she refers to as “the big grief,” one that has stayed with her. The loss of two grandmothers last year — one 99, the other 101 — and a family dog cut deep. That grief has frequently found its way into her films. Several of Watts’ most indelible characters are in mourning.

And so on this cool Saturday afternoon at the Huntley Hotel in Santa Monica, loss is on her mind, not just because of Lynch’s recent death but because the complexity of saying goodbye is at the center of her touching new movie.

Opening March 28, “The Friend” stars Watts as struggling New York author Iris. She has no children or partner, but this is not some clichéd tearjerker in which our protagonist must fill the hole in herself with a baby or a lover. Based on Sigrid Nunez’s 2018 novel, the bittersweet comedy-drama follows an independent woman who, in the wake of the suicide of her mentor and best friend, Walter (Bill Murray), discovers that his last wish was that she look after Apollo, his beloved 150-pound Great Dane.

Iris recoils at the request. She likes cats, not dogs, and her cozy, book-lined, rent-controlled apartment is in a building that forbids pets. But as she starts to bond with the massive, temperamental animal, Iris realizes that Apollo echoes many of the conflicting qualities she associated with Walter: demanding, impossible, achingly soulful. Her friend left without explanation, but maybe Apollo can provide the closure Walter’s death never will.

“I’ve played grieving mothers, wives, everything,” Watts says. “But this felt different because there was something so lovely at the core. [Iris is] not solving her grief but managing her grief through this connection with this magical creature. What is it with dogs that makes us so enamored? They’re so deeply loyal — it did feel different for that reason, like there was hope. The stories of grief that I’ve done before feel a lot darker.”

Wearing a black suit jacket over an ivory blouse and blue jeans, Watts, 56, is open, welcoming and full of gentle humor. Endearingly self-deprecating, she admits to a case of impostor syndrome, her life a constant triumphing over doubt and anxiety. “Honestly, I don’t know how I kept going,” she says of her career struggles when she was in her late 20s, before Lynch made her name in Hollywood. “All I can say is I knew resilience — I have that ingrained in me.”

When co-writers and co-directors Scott McGehee and David Siegel went searching for their Iris, they wanted a performer who could convey vulnerability and a nuanced interior life. “When you look at her face,” says McGehee in a separate interview, “she’s one of those actresses that can do a lot, make you feel like there’s an interesting person inside.”

Naturally, they also needed someone who was a dog person, which was certainly true of Watts — so much so that it caused them a moment’s hesitation.

“Around the time we first started talking about her, she had a dog that she was very close with that she lost,” McGehee says, referring to Watts’ 20-year-old Yorkshire terrier Bob, who died in 2021. “We were concerned that having just lost a dog that maybe there’d be an emotional thing that would be hard for her. But that wasn’t the case.”

“There’s no parallels with me,” Watts acknowledges when discussing how little crossover there is between her and Iris, though she adds, “I could relate to her loneliness, not feeling connected enough to the people around me.” Unlike her single, solitary character, Watts is married — to actor Billy Crudup — and the mother of two teenagers from her previous marriage to actor Liev Schreiber.

Her stardom, now so apparent, hardly felt preordained. She was born in Shoreham, Kent, in England, her parents separating when she was 4. Her father, a sound engineer and tour manager for Pink Floyd, died in 1976 from an apparent heroin overdose. When Watts was 14, her mother took her and her younger brother, Ben, to Australia, where Watts enjoyed some local success, landing a role in the 1991 Australian comedy-drama “Flirting.” But she dreamed bigger.

Then came the fruitless years. Watts tried to make it in American indies, audition after audition leading nowhere. She has made no secret of the fact that her agents were constantly told that she wasn’t sexy or funny enough.

“I knew I could make my friends laugh,” she says. “I knew I could be sexy. But I just believed everyone else’s voices more than my own.” Grappling with anxiety, Watts considered giving up and moving back to Australia. Her mom stopped her.

“My mother [was] staying with me at the time — I was living in an apartment in Venice, right on the canals. I came home in pieces, shredded, sobbing. I was late two months’ rent. I said, ‘I can’t do it anymore. This isn’t working.’” After Watts told her mom about the feedback she’d received after yet another disastrous audition, her mom replied, “Get a backbone. Just fight. That is not who you are. It doesn’t matter that you’re not brilliant in those rooms — you’re trying to be something else and you’re covering who you are, so just go in with what you are.”

Watts takes a moment to collect herself after remembering her mom’s words, delivered with tough love. “It was one of the best pep talks of my life,” she says, “and it’s all I really needed. I’ll get a lump in my throat just thinking about it.”

Soon after, Lynch came across her headshot while preparing “Mulholland Drive,” convinced she would be perfect for Betty, a fresh-faced aspirant just arrived in the City of Angels, ready to run down her acting fantasies. That now-famous headshot was taken by Watts’ brother, Ben, a photographer, who shot it for free. “We did it, I think, in my apartment,” she recalls. “He put a white sheet up. I did my own makeup. Ben is one of the best photographers. He knows how to capture me better than many fancy photographers.”

When Watts met Lynch, they hit it off, the director’s genuine interest calming the nerves she often felt during auditions. Soon, the role was hers, and her career exploded. A year after “Mulholland Drive,” she starred in the hit American remake of “The Ring.” Then came 2003’s “21 Grams” and a lead actress Oscar nomination for playing Cristina, a recovering addict who plummets into drug abuse after her husband and child die in a car accident. Those subsequent parts demonstrated her box-office appeal as well as her ability to grippingly portray characters riven by trauma.

“Even to this day,” she says, “people think of me as the woman on the verge of a nervous breakdown.”

But just as Watts’ star was ascending, she received alarming news.

“I was 36 when I was told I was close to menopause,” she says. “I had my 36th birthday on ‘King Kong’ — I was still playing ingénues. I was in total shock: I’ll never be able to play a leading lady again. It’s not just my fertility that’s going to vanish, it’s this career that’s just getting launched.”

The diagnosis, which came much earlier for her than for most women and before she had kids, left her reeling. (She ultimately did give birth to her two children, although it required experimenting with different fertility treatments, about which she is refreshingly candid.) But it also made her wonder why, despite coming from a family of assertive women, she was so uninformed about what to expect from menopause. For a long time, Watts feared speaking out about her symptoms because she worried how she’d be viewed in an industry that prizes youthfulness above all else.

“I had some cowardice,” she says. “I definitely hid, but to the point where it was too much hiding and too exhausting and too burdensome.”

Finally, she had enough, which ultimately led to her book, “Dare I Say It: Everything I Wish I’d Known About Menopause,” released in January. Part memoir, part practical guide, the book takes us through her own odyssey while also including advice from medical experts. It’s frank and funny, very much like Watts herself. “I’ve always been a bit of an oversharer,” confesses Watts, laughing.

“It was only in the last five years that I started properly understanding what was going on with my body,” she says. But for Watts, there has also been renewal. “It was so freeing that it did allow for confidence to build. I mean, I still have anxiety and things become more difficult, like learning dialogue or remembering people’s names. But you get used to it.”

She thinks about how menopause can leave one wondering: Do I get myself back? Who am I now? Watts has her answer: “You do get yourself back, but it’s a different you. I see it as a new chapter that can be really empowering.”

Watts is proud of her recent work, including her complex, rueful Babe Paley in the 2024 FX series “Feud: Capote vs. the Swans,” for which she earned an Emmy nomination. She’s cognizant of the ups and downs of her career — and how, of late, the downs had outnumbered the ups.

“There was a lull,” she admits, pointing out that she wanted to work close to home for a stretch to be near her young children. That phase is over now, however. “I did run into moments when I was doing the ‘Feud’ press where people were like, ‘Where have you been? It’s good to see you back.’ And I’m like, ‘I didn’t go anywhere.’”

Watts insists such comments don’t offend her. “I had a really lucky and strong start after the David Lynch launch — that was a good five, six years where one great thing led to another.” Since then, she says, “It hasn’t been a clear upward trajectory, it’s been successes and failures. But they’ve all been experiences that have led to something.”

Watts got to collaborate with Lynch after “Mulholland Drive,” first providing a voice cameo in 2006’s “Inland Empire” and appearing in what would be his final project, the acclaimed “Twin Peaks: The Return.” But just as important, they remained friends. “I thought I would see him in a couple of weeks [after that last lunch] because I was here in L.A.” Watts pauses. “There’s a lot I could share but I want to be private about it because of his family. But it was a really powerful meeting that filled me with just so much love and hope.”

Both in real life and in “The Friend,” Watts finds herself picking up the pieces after the departure of a mentor, reflecting on his impact. And although she is understandably guarded, there’s one memory she doesn’t mind sharing.

“I took an accidental picture,” she says. “We took a picture of all of us, but then my camera remained open and I bumped it — it was a picture of the perfect architecture of his house and two palm trees. It just screamed L.A. and David Lynch. I sent the picture of the three of us, and then that random picture that said so much.

“It was a perfect blue sky,” she continues, musing about the accidental photo. “His house — he really loved that space. Blue skies, hope, magic, just dreamy. I sent him a text and he wrote back the most incredible David response.”

Watts laughs and says no more, less out of coyness than serenity. She has lost so much along the way. But as “The Friend” suggests, maybe other things are gained. The film and her lilting performance in it show how grief can coexist with a kind of grace — a peace with the unknowability of what lies beyond. There’s still something mysterious about Watts, even for all her openness. She’ll save Lynch’s text as a secret for herself. It’s hers to keep.