Mad Men's John Slattery on the end of an era, the LSD trip, and auditioning for Don Draper

If creator Matthew Weiner had executed his original intention, only very few of with very long Mad Men memories would now recall Roger Sterling. "I was recently talking with Matt and he said he was going to kill the character off in the first season," reveals John Slattery, the 52-year-old Bostonian who portrays the wisecracking and womanising son of the founder of Weiner's fictitious Madison Avenue advertising firm. "After two heart attacks he was due another one".

It's a tribute to Sterling's winning performance that he has survived the steady cull of characters – most recently Bertram Cooper (played by Robert Morse), Sterling-Cooper 's co-founder. Not only did Slattery establish Sterling as Mad Men's resident comedian ("pretty early on they wrote me a great joke, I guess, and I delivered it well and they said 'OK, that's something he should do'"), but also managed to make him a figure of pathos and complexity – the entitled boss's son who doesn't feel he has genuinely earned his partnership position, let alone figured what he really wants for himself.

"It sort of evolved that way," he tells me "He is a World War Two veteran… conservative… a well-to-do guy… the character went through a lot in the decade that the show takes place in. It takes a while to figure out a character, which is the good thing about being on a television show – you can really get into the details and idiosyncrasies of a person."

Slattery is just completing a US press tour – one last chance for Christina Hendricks to squeeze into Joan's hour-glass dresses, and for the media to sniff out Jon Hamm's brief stint in rehab for alcohol addiction – and which concluded in Washington with a White House reception hosted by President Obama. "I brought my son with me," says Slattery. "It was pretty incredible, especially considering where it [Mad Men] started, and a network [AMC] that hadn't done anything before – one pilot, which turned into a series, which turned into this whole thing."

The seven episodes that begin airing this week constitute the second half of the final bifurcated season of Mad Men – a long goodbye that AMC already successfully conducted with Breaking Bad and which Slattery originally thought was being done for mercenary reasons. He's changed his mind now. "Well, I did [change my mind]. I was happy to see everyone again, for one thing," he says. "And there's an ability to focus the end even more on the characters we've seen for so long, rather than go as far afield as maybe the show has done in the past. The seven final shows are condensed and are about the central group, which is satisfying."

And what does happen in the end is known only to a very tight circle around Weiner, Mad Men's creator having told me last year that the final scene has been in his head since the very beginning. Does Slattery think Weiner is giving himself a lot to live up to? "No, I don't," he says. "I don't think anybody is going to give this thing the thumbs-up or the thumbs-down based on the last few minutes of the last episode. I think that's absurd. People who have watched the show for years aren't going to turn on it because they don't like the last few minutes, or the thing isn't going to be turned into a classic because of the last few minutes. The most important part is the journey."

And Roger – a character who Weiner says most closely resembles himself – has been on one of the strangest journeys of all, including two marriages, one child with his mistress, Joan, and an LSD trip. Did the acid storyline surprise him? "I found it very funny at first… you'd think it ridiculous that Roger, arguably one of the more conservative – or at least establishment – figures would be the one to try this. But then I think it resonated because it made sense because he's always been searching for something."

Slattery directed five episodes himself, and in 2013 he directed his first feature film, God's Pocket, which also happened to be his friend Philip Seymour Hoffman's final released picture – a tragic circumstance that laid heavily on the film's reception. "The movie was a comedy and I was happy with it, but it changed people's perception," he says of Hoffman's death from an accidental drug overdose. "More importantly it changed people's lives."

Since hanging up Roger's dapper pale-grey suits, Slattery has reprised his Iron Man 2 character Howard Stark in this summer's Marvel Comics-inspired blockbuster Ant-Man, while he is part of a delicious all-star cast (Janeane Garofalo, David Hyde Pierce from Frasier, Paul Rudd, Bradley Cooper, Amy Poehler from Parks and Recreation, Kristen Wiig) in Netflix's new comedy Wet Hot American Summer: First Day of Camp – a prequel to David Wain's 2001 movie about a fictional Jewish summer camp. "I worked mainly with Amy Poehler, but, you know, maybe I should just shut up about this", he says. "I haven't been specifically instructed but I don't want to give anything away."

As we speak he's filming Spotlight, playing Boston Globe editor Ben Bradlee Jr at the time of the Globe's uncovering of child abuse among Boston's Catholic clergy. "That's exactly where I grew up," he says. "Irish-Catholic in Boston."

Slattery was one of six children – his mother was an accountant and his father a leather merchant, and with precious few artistic influences in the family home. "But I watched a load of old films on TV and I remember I, Claudius from the BBC," he says. "The production values weren't exactly sky high, but it brought it out in that stronger relief that these were performers. It was the first time it occurred to me that this was someone's job."

Early TV roles included playing Will's brother in the sitcom Will & Grace, Eva Longoria's second husband in Desperate Housewives, and the politician in Sex and the City who professed a perverted desire to pee on Carrie Bradshaw. "If nothing else," he once joked. "I'm glad for Mad Men replacing that on my epitaph."

He's been married since 1998 to actress Talia Balsam (George Clooney's ex-wife), who plays Roger Sterling's former spouse, Mona, in Mad Men. Slattery says he wished he and Mona could have stayed together in the show. "As you can imagine there's a lot of history there that you don't have to fake or cook up, and I think it's a funny dynamic those two."

Back in 2005 he originally auditioned for Don Draper, unaware that Jon Hamm had already been cast (apparently Matthew Weiner didn't want to put Slattery off by have him read for a subsidiary character). In the event Slattery and Hamm hit it off from their first day of filming. "We were kind of in the background of another scene, which was Christina Hendricks explaining to Peggy how to behave as a secretary," he recalls. "And they did the scene over and over. So Hamm and I were basically stood around in the background for hours on the first day… screwing around… getting to know each other."

The friendships forged over 10 years were one of the reasons that Slattery says he was hit hard when shooting wrapped on the last episode. "You spend a lot of time together," he says. "Let's put it this way; my son was six years old when this started and by the end this finishes airing I think he'll be 16. That's a large chunk of someone's life." Not that he wants to co-star with any of his Mad Men colleagues for a while. "I think we've been offered things with each other, and you think, 'I've just finished working with this person for 10 years… maybe I should work with someone else'."

He will however be spending more time with Roger Sterling's desk lamp, which he took as a memento. "I wanted to take the desk itself but it wouldn't fit through the door," he quips, in true Sterling style.

Was he impressed by the way Weiner finished off the show? "I was… yuh. Put it this way, there wasn't an opener or a finale of any season that didn't make sense, you know; it's one of the things that makes the show so watchable. Nothing comes out of the blue – or things may seem to come out of the blue but they make sense in the story – and the ending is in line with all of it.

"We knew how good it was when it was happening. Everybody's sad about it ending, for a time we were, but the good thing is that we all knew how lucky we were, we would continually clock that and keep that in our heads because we all knew it would be over at some point."

'Mad Men' resumes on Sky Atlantic on Thursday 10pm