The flame-haired actress was just 17 when she appeared in La Plante's Prime Suspect: Inner Circles, alongside Dame Helen Mirren as DCI Jane Tennison.
"I remember it being intimidating, but brilliant. I just loved working with Helen, but it was terrifying and exciting," Kelly says.
"I asked her advice about whether I should go to drama school and she said it was the worst idea I could possibly have, that I should go off travelling for three years and then think about it afterwards.
"So I was 17 going 'cool, I won't go to university' - and I didn't, or drama school'. I don't know Helen very well, but she's somebody who's about life. To be an actor you have to experience life and that's what she was saying to do."
Now 31, Kelly has worked her way up through the ranks of bit parts and supporting actress roles on stage and screen.
She played the lead in 2008 film thriller Eden Lake and now takes charge in ITV1's Above Suspicion, based on La Plante's best-selling novel.
Kelly admits it was daunting to take on such an iconic character, but she's quick to downplay comparisons between Anna Travis and Jane Tennison.
"I think they stand completely separately. I think Jane Tennison is up there and Anna is just beginning, she's a spark. And who knows what sort of detective she could turn into?
"I wanted to make sure that she was flawed, rather than being a brilliant young police officer. She's unsure and she's young, she's a rookie."
The two-part drama joins DC Travis on her first murder case - a gruesome series of killings that began eight years ago and has shocked even the most hardened detectives.
The method of killing is identical in each case and the victims are all drug-users and prostitutes, but then a seventh body turns up, this time of a young student.
Anna is determined to impress her boss, DCI James Langton (Ciaran Hinds), who had worked with her late father, and she's prepared to go to any lengths to solve the case - even if it means dating the prime suspect, dashing actor Alan Daniels.
Overwhelmed by the details of the case, Anna is soon having nightmares about the women victims.
"She arrived late and had to start swatting and it became all-consuming," explains Kelly.
"It was in her head the whole time, and there were so many women - it must get to you at some point."
On her first day in the job Anna has to trek through mud to the murder site, ruining her tights in the process and throwing up when she catches sight of the bloated, blue body.
Later, she faints while watching maggots pour out of wounds in the victim's body during an autopsy.
Kelly is full of praise for the art department who made the prosthetic body.
"Everything about it, even to touch it, it felt real and then of course the maggots were real and some of them had stayed in from the scene in the wasteland, we shot two weeks before.
"So there was a really nice smell of mouldy maggot coming from the body. It wasn't a good day, that day. It was unpleasant," she says.
Kelly says part of the appeal of the role for her was that she could identify so much with Anna's new girl nerves.
"This job really means something to her and I've been on those first days where I didn't sleep the night before and so the next day I'm exhausted, but I've got to prove myself, I've got to hold it together, when the pressure is on.
"You're in a world that won't suffer fools because there is competition and there will be someone there to fill your shoes, so I've constantly been in situations like that, for many years I've felt like every job was my first."
The actress admits she's been awestruck numerous times throughout her career by various actors she's worked with.
"I didn't sleep for two days before I worked with Judi Dench, I'm very gun-shy. As soon as the work starts I'm fine, it's the chats before that I don't like, I find difficult.
"I'm filming Sherlock Holmes at the moment, it's the biggest film that I've ever worked on and everyday there's numerous producers on set, American producers and it's just a whole other world. It's very intimidating."
In Sherlock Holmes - Guy Ritchie's latest film project, which is due out in November - Kelly plays Mary Morstan, the girlfriend of Dr Watson, played by Jude Law.
It's not the first time she's worked with an A-list heart throb - in 2004 she appeared in The Libertine with Johnny Depp.
"He's a consummate professional, a great actor," she says, suddenly coy.
"My favourite actors are the ones who are playful, they just love playing and they're generous in a way that they ask you to contribute, they're not consumed by themselves."
It's not long before Kelly's talking about her Above Suspicion co-star Ciaran Hinds in similar glowing terms.
"I've worked with Ciaran once before on a play in Dublin. It was a job that absolutely transformed me as an actor and it was by no accident that Ciaran was part of that.
"When I heard they were thinking of casting him in this, I immediately knew that if he was on board then I was. He's mesmerising, I love him!"
Kelly grew up in London, where her father Jack was a police constable for 25 years.
Having that connection helped with Kelly's preparation and although her father didn't give her any advice ("he knows better than that"), she says he's very excited about the role.
"He came on set to visit and he has read the books, but he's my harshest critic, so it will interesting to see what he thinks... He is much more proud of me playing a copper than a prostitute, let's put it that way!"
Lynda La Plante has written five books about DC Travis in total - and Kelly is thrilled by the prospect of bringing her to life again.
"It would be an exciting proposition to follow her, but I have no idea whether it will happen. I think the powers that be want it to and I'm up for it if they are."
In the meantime, Kelly's film career continues to flourish - in 2009 she's also starring alongside Colin Farrell and Christopher Lee in thriller Triage - but she is adamant that she won't be moving to Hollywood just yet.
"I don't think I'm going to go over there and start asking for work, but if it happens... I have had offers, but it's not necessarily what I want to be doing.
"It can't just be because it's in Hollywood, it has to be because I love it and I'm going to be challenged and interested, or I'll get bored too quickly."
KELLY REILLY - EXTRA TIME
Kelly played Helen Mirren's character as a young woman in flashback sequences in the 2001 drama Last Orders.
"I like the fact that she's made a career, she's the most successful she's ever been now in her 60s," she says.
When Kelly was in the controversial play Blasted at the Royal Court in 2001, her mum asked her afterwards 'why can't you just do something where you wear a nice dress and be nice?'
Despite appearing in high profile films like Pride And Prejudice and Mrs Henderson Presents, Kelly says she doesn't get recognised on the street and likes a life without fame.
"I just don't invite it into my world because I don't really want it or need it," she says.
Above Suspicion started on ITV1 on Sunday January 4.
