Nikolaj Coster-Waldau cried on his last day of filming 'Game of Thrones'

Asked about his last day on set, he said: "I think I got some dust in my eye."

But Nikolaj - who has daughters Fillippa and Safina with wife Nukaaka - admitted realisation the show is over may not fully sink in for him until reaches the time filming on a new season usually begins.

He told the new issue of Men's Health magazine: "Maybe this fall, when we're not going back to Belfast, that's when you go, Oh, I guess it really is over."

And the actor is proud the show is going out on a high, rather than showrunners D.B. Weiss and David Benioff agreeing to keep making more seasons just to make network bosses happy.

He said: "[I'm proud] that D. B. Weiss and David Benioff stuck to their guns and said, 'This is the story we wanna tell; we're not gonna extend this' - because I'm sure HBO would have loved another couple years of this show.

"There's an audience for it, for sure. But I think everyone who watches the show will appreciate that it's finished - that it was one story from episode 1 to episode 83, and we told it."

Jaime infamously fathered three children with his twin sister Cersei (Lena Headey) and despite their incestuous relationship, Nikolaj thinks its one many people can relate to.

He said: "I think most people have at least been attracted to someone you shouldn't be. Not your sister, but someone you really shouldn't fall in love with. Like your best friend's girlfriend. It's one of the few true love stories in Game of Thrones--Jaime is dedicated to this woman."