When the makers of Doctor Who decided to take the Time Lord on a classic Western-style adventure, they knew exactly where to go. Like so many classic films, from The Magnificent Seven to A Fistful Of Dollars, this week’s episode, A Town Called Mercy, is being shot at the Fort Bravo Texas Hollywood film studio near Almeria in southern Spain.

The landscape is familiar yet strangely alien, the desert stretches out with only the occasional cactus and a few rocky hills for miles around. "I like the stillness of it, the big sky, and the sounds of it as well – you can hear the crunch of the gravel underfoot and imagine Clint Eastwood pottering around here," grins Matt Smith, who was, just seconds earlier, leaping about on top of a spaceship, hidden in the sand.

On arriving at Fort Bravo, it is difficult to decide who looks more out of place. Is it Matt as the eccentric Time Lord in his trademark bow tie, tweed jacket and half-mast skinny jeans – augmented, not for the first time, with a cowboy hat? Or could it be guest star Andrew Brooke, who is playing tattooed six foot six inch robo-sheriff the Gunslinger, complete with a mechanical machine-gun arm and dressed head-to-toe in Mr Eastwood’s oversized cast-offs?

"It’s probably me, right?" grins Matt Smith. "The Doctor looks more ridiculous and out of place here than anywhere else. But with his gun, hat and that big coat, the Gunslinger fits right in. He looks incredible, doesn’t he?"

"What a transformation. I saw poor Andrew in prosthetics today, and he was there for three and a half hours. But I said to him, 'Look mate, don’t worry, you are going to get a toy of yourself!' I mean, look at him, he has a great big gun on his arm – he’ll make a perfect toy! I definitely think he is a monster that kids will love, particularly little boys."

So the production wasn’t dragged halfway across Europe just because Matt looked good in a cowboy hat (albeit one that has, on closer inspection, bullet holes in either side)?

"Ha, I doubt it," he grins. "I’m not even sure how good I look in the hat, to be honest. I think my Doctor secretly prefers the Fez. It is very him, a bit sillier. But I think it is exciting to have a Wild West episode; you wonder why we haven’t had one more recently. The last one was in 1966 with William Hartnell."

While Matt continues to shoot a scene that includes his first encounter with the Gunslinger, we head off in search of his co-stars. We bump into Adrian Scarborough, who has just completed his last scene as Kahler Jax – the mysterious outsider behind the curing of disease and rigging up of electric lighting, years before its invention, in Mercy.

The 44-year-old is scurrying around taking photographs of the Wild West town, complete with its saloon bar, sheriff’s office and jailhouse, and is delighted to spot a familiar landmark.

"Is that the archway from Once Upon A Time In The West? Oh, this is just heaven for me, it is all my Christmasses coming at once," he grins. "Doctor Who and the Wild West, with a bit of sci fi thrown in. It is about as good as it gets.

"I was having a think yesterday about whether I had done any sci-fi before, and I don’t think I have. One forgets! I don’t know why, though, because I am born to play these characters. Heavens, I would look marvelous as a Dalek!"

Adrian hurtles off in search of more movie memorabilia, so we join Arthur Darvill, sunning himself on a porch, reading books and contemplating the script he has just read, for episode five, which features his final moments as Rory.

A fan of Westerns – he grew up watching them on TV every Sunday afternoon with his dad – Arthur is more excited than anyone to be here.

"It is all the big scenes where I feel like I’m in a proper old Western that I’m loving," he tells us. "There was a classic showdown last night, we’ve had discussions in sheriff’s office, we’ve walked into the saloon when the piano is playing. I don’t think there is going to be a bar brawl – Doctor Who doesn’t go that far, which is a shame – but there are some classic moments. You certainly couldn’t film this in Cardiff!"

Talk turns to horses, for Matt Smith will later be seen galloping out of Mercy. "I have had a couple of lessons, so I can canter now," says Matt. "I really enjoy it, my horse in this is called Caramel, and she is very nice. But she kept bolting earlier, so thank god I wasn’t on her back then. I really love them – they are big gentle giants."

So, given that the trio are fulfilling all their Wild West fantasies while filming an episode that once again raises the bar for the series, we ask them to imagine themselves as cowboys and cowgirls. What would they call their trusty steed?

For Arthur, the answer is easy, if a little disturbing. "Mistress Moonshine!" he says. "I think I would have to have a sexy female horse, and talk slightly dirty to it."

Karen’s horse would be named after a childhood pet. "I had a cat when I was growing up who was my closest friend at one point in my life, and I named her Fuzzy because I’d heard about this horse called Fuzzy. So it feels like going full circle, naming my horse Fuzzy."

And finally, Matt. "If I had a horse, what would I call it?" he says, before thinking aloud, scrambled words rushing out at speed in a manner not dissimilar to the Doctor.

"The first name that came to me was Mustafa. Let me think. Or I’d call it something simple like Clive. Clive or Mustafa – oh, I know, maybe Clive Mesphistophales! Yes, that’s the one…"