The actress plays transgender contract killer Mia in Sky Atlantic's drama series Hit & Miss and strips off for a shower scene.
"Filming with a prosthetic penis was intimate and embarrassing," Sevigny told Metro.
"It was awful having to put it on. I felt like a freak."
Of being cast in the role, she added: "I'm not offended. I always joke that I'm really masculine and it makes perfect sense people would think about me because of my career so far."
Regarding several controversial past roles, including parts in Boy's Don't Cry and The Brown Bunny, Sevigny added: "I don't know how it all happened.
"I'm interested in these kind of lifestyles, and grew up around them in New York, but I never had some master plan to make all these comments on sexuality."
Watch Chloe Sevigny talk to Digital Spy about Hit & Miss: