The actress recently signed up to play Lady Portia Alresford in the BBC One drama.
It later emerged that Portia will have a romantic relationship with Blanche (Alex Kingston).
"Alex and I make a great pair of lovers!" Fox told The Sun. "It was wonderful - we just went for it. We weren't nervous, because we just decided to have fun with it and it's good to be asked to do something you've never done before."
Meanwhile, Upstairs Downstairs writer Heidi Thomas revealed that the romance will cause "a real whiff of scandal in the air".
Upstairs Downstairs airs on Sundays at 9pm on BBC One.