The women, who play Jessica Fraser and Siobhan Dhillon in the BBC show, refused to give away how their characters' plotlines tie up but hinted at what viewers can expect.
Of her marriage breakdown with husband Mark, Conn revealed: "I don't think any long-term relationship can ever go back to being a whirlwind romance - sorry, I'm a realist!
"I'm not saying they can't continue forwards with positivity and love and romance but it'll always be altered by events and experiences and knowledge of what has occurred.
"I don't believe Jessica's the kind of woman to ever go back."
Brady commented about Dhillon's relationship with former boyfriend Dominic: "Shall we just say that the road to love is littered with slippery bananas?"
The last ever episode of Mistresses will be shown on Thursday at 9pm on BBC One.