Gillan (Amy Pond) explained that 'The Pandorica Opens', which will see the Doctor (Matt Smith) receive a terrible warning, will mark his "worst nightmare".
She told TV Times: "It starts with the Doctor saying he's going to take Amy to the very first planet in existence, but when they arrive there they find a message from River Song (Alex Kingston).
"The message rings alarm bells for the Doctor - and then they find River dressed as Cleopatra."
Gillan added: "There's more to it than meets the eye. The two episodes are really scary - it's the Doctor's worst nightmare."
'The Pandorica Opens', the first part of the series finale, airs on Saturday at 6.45pm on BBC One.