McGovern plays Countess of Grantham and Dockery plays Lady Mary on the drama, which won a Golden Globe Sunday for Best Miniseries or TV movie.
"It's going to come out later in the year," McGovern told The Telegraph newspaper in England about her forthcoming as-yet-unnamed musical project.
"It's been so much fun. Elizabeth is a great songwriter," said Dockery who has previously performed live with McGovern's band, Sadie and the Hotheads.
Celebrity Families of 2014 [PHOTOS]