In May 2015, it was announced that Gillan was cast in the Adam McKay-directed drama film "The Big Short" alongside Brad Pitt, Christian Bale, Ryan Gosling, Steve Carell and Melissa Leo. She directed her first short film, "Coward", which won several awards and screened at the 2015 Edinburgh Film Festival. Later that year, in September, Gillan was cast as one of the main characters, Annie, in the movie "The Circle" alongside Emma Watson, Tom Hanks and John Boyega. The film is directed and written by James Ponsoldt and is based on the novel written by Dave Eggers.