Dudek's character Danielle currently has no idea that her sister Annie (Piper Perabo) is working as a CIA agent.
"It seems like a typical relationship between two sisters, and yet in the very middle of it is this huge lie," Dudek told Fancast.
"There's this backstory that Danielle and Annie were army brats always moving around and travelling, and I imagine the closest intimacy either of us has is with each other. So to have a wedge in the middle of that is really interesting to me."
Dudek also suggested that Danielle may come close to discovering the truth about Annie.
"You can expect some close calls," she said. "I don't think Danielle will overtly question Annie about [her behaviour], but it is suspicious... How long is it going to take before Danielle starts putting some pieces together?"
Covert Affairs continues on Tuesdays at 9/8c on USA.