Gillian became a global star through playing Agent Dana Scully in the sci-fi series. However, the actress didn't feel comfortable in Hollywood.
She told TV Week magazine in Australia: "Back then, part of that decision was also that I had a complicated relationship with becoming so famous so young and seeing the worst part of what the industry can be. I really hated it and wanted to get away."
Gillian - who was cast as former Prime Minister Margaret Thatcher in 'The Crown' earlier this year - has never considered making a permanent switch back to the US.
She reflected: "The rewards that I've been blessed with for following my instincts are many, and I never got to the point of even considering moving back to America."
Meanwhile, Gillian recently admitted she'd struggle to cope with the pressures of fame as a young actress in the era of social media.
She explained: "I cannot imagine what it must be like for young and impressionable actors getting into the business today with the whole tweeting thing, members of the public snapping you on their phones, and the fact that anyone can post a picture of you sitting in a restaurant."