The CBS crime drama follows Det. Carrie Wells (Montgomery), a cop who has perfect recall of her entire life, expect for the day her sister was murdered.
"I know nothing about what actually happened, who did it or why," the actress revealed to Digital Spy. "It's better for me acting-wise in a lot of ways not to know.
"She's on this mission to solve her sister's murder and for whatever reason solving the other cases keeps bringing back pieces of [her memory of that day]."
Montgomery - who previously starred in CBS series Without a Trace - added that she has "fun" playing "imaginary cops".
"Samantha Spade on Without A Trace was much more by the book and impressionable," she said. "This character's a lot more action-based and renegade and she doesn't wear suits and she doesn't dress like a cop and she doesn't act like a cop.
"Carrie doesn't care - she does her own thing and she'll do whatever it takes to solve a case, whether it's okay and by the book or not. That's kind of a cool thing to do - I like that."
Unforgettable was briefly cancelled by CBS, but later received a second season pick-up for 2013.
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Watch a recap of Unforgettable's first season below: