Great British Bake Off winner Nadiya Hussain agrees: "It's the hardest job I've ever done."
So are they talking about fame, acting, presenting? No, actually, they're talking about being a mum.
The pair spoke to BBC Radio 5 Live for its #mumtakeover event, along with Loose Women panellist Stacey Solomon, who said she was "fed a fairytale".
The frank videos posted on BBC Radio 5 Live website are part of the radio station's discussion on motherhood and mental health.
Headey, a mother of two who suffered from postnatal depression after giving birth to her first child, said: "You're last to get a shower. You come last in everything in the nicest possible way.
But it isn't all doom and gloom.
"Relationships deepen everywhere because of it. Every day is funny," Headey, who plays Cersei Lannister in Game of Thrones, said.
And her advice?
"Trust yourself and ask for help."
Hussain, a mother of three, said: "The best thing I've learned about being a mum is not listening to anyone, I've got my instinct."
She also advised to "just kind of take each day as it comes".
But the TV presenter warned: "Someone gave me advice once - it gets easier. The truth is, it doesn't. Every phase, every year comes with its own challenges."
Solomon, who first found fame on X Factor, spoke of her struggles with post-natal depression following the birth of her first child. She has two sons.
"We are fed this fairytale that as soon as you become a mum, you'll know what to do."
Photo copyright: BBC/EPA/GETTY Image. Caption: These celebrity mums speak candidly about their experiences