In an interview with TV Guide, Moss revealed that series creator Matthew Weiner didn't lay out Peggy's exit for her.
"It was very much script-to-script," she said. "Usually, he'll tell me something like that, but I think that Matt was a little concerned about me playing the ending if I knew. I think knowing what's going to happen can help, but then also, sometimes, it can be counterproductive."
As for whether or not Peggy will be returning for Season 6, Moss has been skating around the question as much as possible. Although she revealed to TV Guide she had "knowledge of stuff" that would happen in Season 6, she told GQ should didn't know Peggy's fate.
"Well, you can draw your own conclusions from my movements in the world at some point," she recently told GQ. "If I'm in L.A. shooting 'Mad Men,' then I guess they're not letting me go! But at the same time, honestly, I don't know exactly what's going to happen."
For more on Moss and "Mad Men," click over to TV Guide.
Alexis Bledel, "Gilmore Girls"
Alexis Bledel played Beth Dawes in Season 5's episode "Lady Lazarus."
Dennis Haskins, "Saved By The Bell"
Dennis Haskins played Phil Beachum on the Season 5 episode "Lady Lazarus."
Joel Murray, "Dharma And Greg"
Joel Murray played Fred Rumsen in Season 2.
John Cullum, "Law & Order: SVU"
John Cullum played the owner of Lee Garner Sr., the owner of Lucky Strike, in Season 1.
Cara Buono, "The Sopranos"
Cara Buono played Faye Miller in Season 4.
Embeth Davidtz, "Californication," "In Treatment"
Embeth Davidtz played Rebecca Pryce in Season 3.
Larisa Oleynik, "The Secret World of Alex Mack"
Larisa Oleynik plays Cynthia Cosgrove, Ken Cosgrove's wife.
Mark Moses, "Desperate Housewives"
Mark Moses played Duck Phillips in Season 3.
Kevin Rahm, "Desperate Housewives"
Kevin Rahm played Ted Chaough in Season 4.
Darby Stanchfield, "Jericho"
Darby Stanchfield played single mother Helen Bishop in Season 1.
Charles Shaughnessy, "The Nanny"
Charles Shaughnessy played Saint John Powell in Season 2.
Ray Wise, Ken's wife's dad, "Twin Peaks"
Ray Wise played Ed Baxter in Seasons 4 and 5.
Ray Wise, "Twin Peaks"
Ray Wise played Ed Baxter in Season 4.
Bess Armstrong, "My So-Called Life"
Matt Long, "Jack & Bobby"
Matt Long played Joey Baird on Season 4.
Mädchen Amick, "Twin Peaks"
Madchen Amick plays Don's ex-lover in Season 5.