The actor, who plays vampire sheriff Eric Northman on the HBO series, said that it was challenging for both of them to film last season's dream sex sequences because of their close friendship.
"It's clear to Steve [Moyer] and to everybody else what the deal is, which is that Anna is like a sister to me," Skarsgård told GQ when asked about their characters' budding romance.
"Those love scenes take quite a bit of acting, actually," he explained. "A lot of acting."
Skarsgård's co-star Paquin married fellow True Blood star Moyer in August last year, while Skarsgård has long been rumoured to be dating his Straw Dogs co-star Kate Bosworth.
True Blood will return for its fourth season on HBO on June 26.
Watch the promo for season four of True Blood below: