McGovern, who plays Lady Cora, told Britain's The Telegraph that many of the musically talented cast of the period drama bring in guitars and perform music during downtime on the set.
She said there's been talk of forming a musical group to perform for charity.
"We happen to have a lot of musicians in the cast but as yet we've never formalised anything. It would be interesting and definitely very different, I wouldn't know which way we'd go musically, but it's a fun idea," she said.
McGovern is a singer-songwriter for the band Sadie and the Hotheads and recently went on tour across England. She's also welcomed Dockery, who plays Lady Mary on "Downton," to perform with her on stage.
McGovern described Dockery's talent as "amazing" and said she has a "natural ability."
Both Dockery and Leech, who plays Tom Branson, play guitar, The Telegraph reported.