The actress stars opposite Antonio Banderas in Pedro Almodóvar's film, which was released in cinemas last year and is out on DVD and Blu-ray now.
Asked for her first reaction to the script, Anaya told Metro: "I was speechless because I was so impressed with the story and I was so touched because he was offering me the role.
"It was one of the most beautiful feelings that I have had in my life."
She added: "We had conversations and we had what he called a rehearsal but I knew it was an audition. And when I read the script, I was fascinated by the story.
"I thought, 'Wow, this thing goes far, not only in the story, it goes far beyond that with these weird and fascinating themes'.
"This idea that everything can be manipulated is scary. What the film deals with is very risky and very modern."
Anaya previously said that her "entire blood stopped for a few seconds" when Almodóvar first called her about the film.
Watch the trailer for The Skin I Live In below: