The actress had played a walk-on role for the director in 2002's Talk to Her
Anaya said: "My entire blood stopped for a few seconds. I couldn't believe it. Everything was part of a dream and I am still inside the dream now.
"As soon as Pedro tells you, 'It's you!', all these scary thoughts come in to your head. You start to feel this incredible responsibility. You think: I have to do this well. I won't lie to you, it's completely terrifying."
Anaya added: "I could talk to you for hours about the notes he gave me. With Pedro, you don't build up your own role. You have to almost go through his mind to get to the character.
"Every little moment he directs you and you have to be obedient and quick to follow his path to wherever he wants to take you."
The Skin I Live In opens in UK cinemas on August 26.
> 'Skin I Live In' gets Somerset House premiere
Watch the UK trailer for The Skin I Live In below: