Perhaps Kristen Wiig isn't the girl of your dreams -- but that's only because you don't see the world through the eyes of "Walter Mitty."

In "The Secret Life of Walter Mitty," Ben Stiller serves as both director and star, playing a day-dreaming magazine employee who fantasizes about a life with fellow employee Cheryl Melhoff, played by Wiig. The "Bridesmaids" and "Saturday Night Live" veteran is right at the heart of "Walter Mitty," but establishing the dynamic between Walter and Cheryl -- not to mention delineating a clear line between their real and imagined relationships -- was no easy feat.

"There's so many different ways to look at it," Wiig told MTV's Josh Horowitz of the various sides of Walter and Cheryl. "There's the fantasies, and there's the [real] relationship that Walter and I have. We just kind of wanted them to have a connection from the very beginning. You needed to understand why Walter feels the way he does about Cheryl without knowing too much about her and their similarities. It was really just about the connection between the two of them, and hopefully that would spill out and have other people get it."

Stiller's dual role as star and director made a tricky situation even trickier. "Walter Mitty" is a challenging project for any filmmaker, given its sweeping visuals and expansive scope, but it's especially challenging for the director to also act as the film's unwitting hero.

"The movie was really ambitious, and he's in every scene," Wiig said of Stiller's work. "To be a director, you're in charge of everything. You have to be totally organized and focused. You're leading this huge team. And then you're [playing] Walter, this small guy who is afraid to shed his skin. He had to constantly be both of these people every single day."

Stiller wasn't the only one who had to shed his fears for "Walter Mitty." For her part, Wiig had to break outside of her own comfort zone (as much as one exists for the adventurous actor), particularly for a scene that requires her to break out her best David Bowie impression.

"We recorded at Electric Lady [Studios], which was already completely daunting. I didn't feel like I belonged there," she recalled. "And suddenly I'm singing a David Bowie song. It was amazing experience because I got to do it and fulfill a little dream of being a rock star for a day -- but it was scary."

"The Secret Life of Walter Mitty" is in theaters now.