The actor, who plays Littlefinger in the HBO series, will appear alongside the likes of Sophie Okonedo, Peter Firth and Lesley Manville in the five-part drama from the writers of Whitechapel.
Mayday focuses on the disappearance of a young girl from an idyllic community, which prompts neighbours and friends to suspect each other of wrongdoing.
Gillen will portray a single father named Everitt, while Okonedo has been cast as a mother-turned-spy. Firth will star as a community leader, with Manville playing his wife.
Ben Stephenson, controller, BBC Drama Commissioning, said: "[Writers] Ben Court and Caroline Ip have crafted a gripping thriller that takes us behind the scenes of a murder and examines the impact a devastating crime has on an ordinary neighbourhood."
Jane Featherstone, chief executive of Mayday producers Kudos Film and Television, said: "Mayday has attracted a brilliant cast and takes an original look at a familiar story.
"There are no police incident rooms, autopsies or crime scene investigations, instead this is about a town facing the reality that the killer is among them, one of them."
Mayday is directed by Black Mirror's Brain Welsh and produced by Chris Fry of Spooks.