An emotional Dance said: "I have a sister, I see, right. I have to say this is quite moving, because I know so little. So gradually, bit by bit, we are finding out about the life of a man who I just knew by his name WD."
He also discovered that his second half-sister, Mary, was born in 1903 but killed at five after being hit by a scaffolding pole.
"It is overwhelmingly sad and I don't think, as a parent, that one would ever get over something like that," he said.
However, in a moment of levity, Dance also found out his father was a hero in the Boer War, serving during the most brutal guerilla phase of the battle.
Walter Dance was awarded a campaign medal after being involved in a "physical and psychologically demanding" hunt for saboteurs.
"It's rather extraordinary to know that here in my 70th year, I am only finding out about all of this now," said Dance, who is best known for playing Tywin Lannister in HBO's Game of Thrones.