Called Tupperware Party, it is wrapped up in challenging issues, and also marks a return for the actress to where her fascination with movies first began.
"Weirdly, I am back where I started," says the 29-year-old actress, writer and director on the set of Tupperware Party.
"I have been concentrating on acting for, I guess, the last decade.
"But when I first started off when I was a young child expressing an interest in all this I had a video camera and was directing little short films.
"It feels exactly the same, except everything is on a slightly bigger scale."
Inverness-born Gillan is best known for her roles as Amy Pond in the BBC's Doctor Who and also as space pirate Nebula in 2014's Marvel movie, Guardians of the Galaxy.
Since her breakout role in Doctor Who she has also appeared in the films Not Another Happy Ending, Oculus and In a Valley of Violence and US TV shows, including Selfie.
But Gillan has also been busy writing and directing her own material. She already has two short films to her name, including a horror short called Conventional.
Tupperware Party, which she wrote and is directing and starring in, is an art house film set in her home city and is being made by a US-based film company.
Gillan says: "Tupperware Party follows the story of a girl called Lucy who lives in Inverness. She is dealing with the suicide of her best friend.
"It is one year one on and she is having a really hard time expressing how she feels about the whole event. Her angst manifests itself in quite destructive ways."
The film is being shot at locations across Scotland, including Inverness. When I catch up with Gillan the production is in Bo'ness, near Falkirk.
She says: "It was so important for me to film in Scotland first and foremost because the film is set in Scotland.
"The only other film I've seen set in Inverness was Loch Ness, which is great and I really enjoyed it, but I really wanted to show the reality of the place and what it is like to grow up there.
"There is a sense of identity that is beyond the tourist sort of aesthetic."
Tupperware Party is being made by Mt Hollywood Films, a film company with a mission to offer women and film-makers from minority backgrounds leadership roles such as writing, directing and producing films.
"I have such an amazing team to collaborate with," says Gillan.
"We have such a strong team of females on this project. We didn't choose anyone because they were female. To me gender is irrelevant and it is whoever is best for the job."
Andru Davies, of Mt Hollywood Films, says Gillan is "exactly" the kind of film-maker the company wants to work with.
"She wrote the script, she is directing it, she is the lead actress, it is female-driven and her partners are all women," he says.
But he adds: "It is a story that speaks to both men and women."
It is not only the Scottish actress that has won over the film company. Making Tupperware Party has convinced Mt Hollywood Films to return to Scotland to make other films.
Davies says: "It is great working here. We are actually moving some of our other projects to Scotland because of how much we have enjoyed working here. The crews are amazing and the towns are great."
Part of Tupperware Party's crew is producer Claire Mundell, who also has her own independent film company, Synchronicity Films.
She previously worked with Gillan on Not Another Happy Ending.
"At the end of that film she told me she was writing a script about suicide in Scotland, which is a really big issue as we know," says Mundell.
"That really resonated with me and I thought the opportunity of working with Karen as a writer, director and female film-maker would be really exciting."
Mundell also says that Tupperware Party is yet another film that underlines the need for Scotland to have its own studio with an industry-scale stage.
The Scottish government has been looking at how to provide such a facility.
Mundell says such a studio would allow whole film-making processes to be done in Scotland, and not just filming at locations before the movies are finished in a studio overseas.
"The stage is necessary to inspire our own indigenous film-making talent and TV-making talent to be more ambitious and be more international with the stories they tell," she says.
Tupperware Party should be available for release in cinemas this year - 12 months when Gillan will rarely be far from the big screen.
Over the course of 2017 she will appear alongside Tom Hanks and Emma Watson in The Circle, reprise her role as Nebula in Guardians of the Galaxy, Volume Two and at Christmas will feature in a follow-up to 1995's Robin Williams hit movie Jumanji.
"So look out for those," says Gillan. "And then I'll be making a little appearance in the next Avengers movies."
Avengers: Infinity War, expected to be released in cinemas next year, brings together many characters from the Marvel comic "universe", including characters from Guardians of the Galaxy as well as the Iron Man and Captain America stories.
Some scenes for Infinity War are reportedly to be filmed in Scotland.
"What are the chances of that?" laughs Gillan, hoping that if this is indeed the case she might be able to appear as her character from a galaxy far away in a place not too far from home.
Karen Gillan has come home to Scotland to direct her first feature-length film.