The actress, who is currently competing on Dancing on Ice, will guest star alongside real-life husband Tim Healy, who plays a cross-dresser on the sitcom.
She told Buzz: "Scary Mary's this gangster type chasing Madge for her debts. It's only a small part but I had so much fun I didn't want to leave."
Meanwhile, Healy commented: "Denise told me she was jealous when she read my script. The next thing I knew, she was on the phone to the writer Derren Litten and he had given her a role.”
Benidorm returns for its fourth series next Friday at 9pm on ITV1.