According to The Hollywood Reporter, the former star of The Wire will play Littlefinger, the manipulative advisor to King Robert (Mark Addy).
The show - which also stars Sean Bean as the heroic Ned Stark - is based on author George R. R. Martin's A Song of Ice and Fire series of novels.
Former Robin Hood actor Harry Lloyd and Sarah Connor Chronicles star Lena Headey will also appear. HBO has ordered nine episodes of the adaptation.
Gillen currently appears in ITV crime drama Identity.