Before moving on to baby number two with hubby Javier Bardem - Cruz is due to give birth any day - she took a leading role in Twice Born. This reunited her with one of her favourite directors, Sergio Castellitto who was her director on 2004's Don't Move.
As with Don't Move, Twice Born, a drama set in the Bosnian war, is based on a novel by Castellito's wife, Margaret Mazzantini, of whose writing Cruz is a huge fan. The actress plays Gemma, an infertile academic, who finds an unusual way to have a child, until she discovers the father's background.
"Gemma is honest about the fact that she doesn't have the typical maternal instinct," Cruz explains. "She wants to have a child with her man [a handsome, younger American photographer, played by Emile Hirsch] as she's afraid of losing him. The refreshing thing is to see a character who says things that are so politically incorrect. She just says what she thinks."
Cruz's brother, Eduardo, composed the music for Twice Born. He divulges the mayhem of growing up in the Cruz household.
"Our mum and dad gave us a lot of freedom regarding what we could do in life," he recalls. "Our house was like a circus where everyone was doing something. Monica [who did the stunts for her big sister on Pirates of the Caribbean: On Stranger Tides] was dancing, Penelope was looking in the mirror doing crazy stuff, and I was making noises with anything from the kitchen. "
Cruz's family became even more important to her after she moved to Los Angeles. Speaking hardly any English when she arrived in 1994, she grew desperately lonely and shared her tiny hotel room with stray cats she found on the street.
Ultimately, living in LA seemed like a burden, she says, and she is now set to give birth in the Spanish capital.
"Madrid is my city and a lot of my family is there. In LA, everything is about the movie business, like there is nothing else going on in the world. I don't like that."
It can't help that she doesn't drive. "I only drive in movies," she chuckles. "I have a weird relationship with driving. I know how to, but I never took the test."
Ultimately, Cruz is unsure where she and Bardem will live, though she intimates it will most likely be a mix of New York and Madrid, and perhaps London.
They recently spent time in London filming Ridley Scott's The Counselor, based on a screenplay by Cormac McCarthy. As one of two female leads, Cruz plays Laura, a religious woman involved with Michael Fassbender's lawyer and drug trafficker.
"She becomes involved with a group that is hidden, in a dark, dangerous place and she finds herself realising that she is closer to them than she thought."
As for working with her husband, she says, "We don't have scenes together. But, in a way it's better, because then always one of us can be free."
Cruz has also reteamed with great friend and her director on five films, Pedro Almodovar. She appears in a small role in his new movie, I'm So Excited, working for the first time with Antonio Banderas, her friend of many years.
"Antonio and I only do two things together in the movie," she laments. "We open the movie and that's it. But we loved working together. It means a lot for us that it was Pedro who put us together and when we finished the shooting we were like, 'What can we do together now?
"It felt so easy and so dynamic. Pedro wants to come up with a story so we can work together on an entire movie. It will be great."
Twice Born opens in cinemas on July 11.
