I Am Convinced That Lady Gaga's Latest Harley Quinn Instagram Photo Is Proof That She's Been In Character For Months

“I would actually say playing a character for me is like living one long song, one long song that lasts for months,” Gaga explained last year. On the plus side, she found it easier to "drop" her House of Gucci character because she was a killer: “There were some things about the transformation for me psychologically that were super challenging." This is good news for Gaga as she plays Harley, a serial murderer especially when she’s tied to The Joker.