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.