The former Friday Night Lights star will appear in tonight's episode of the show as a "psychopath".
"She comes from a very dark past," Palicki told TV Guide. "She was abused by her father - sexually and emotionally. She met a person she feels is her equal, and they go on a killing spree. It's kind of like Natural Born Killers."
However, Palicki admitted that playing a murderer provoked mixed emotions in her.
She said: "It's one thing to play a killer, but to go into that darkness where she doesn't see what she's doing is wrong... It's scary, but fun."
Criminal Minds airs on Wednesdays at 9/8c on CBS.