"I'm surprised people even recognize me," Plaza joked when asked about her much lighter locks. "It's a whole new world."
She added, "I'm scared every time I see myself in the mirror, but I think blondes really do have more fun."
In her new film, Emily the Criminal, the funny woman channels her darker side, playing a desperate college graduate who becomes involved in a credit card scam.
As for what it was like to star in the thriller, Plaza said, "It was fun."
"I loved the script. The script is so incredible, and the character -- she's like a bada** from New Jersey," she explained. "It was really fun to do a crime thriller and do something a little more serious."
The 38-year-old actress is continuing to scratch that itch with another serious role in Megalopolis, an upcoming sci-fi drama directed by Francis Ford Coppola.
"I'm shooting a movie called Megalopolis," Plaza teased. "I mean, I'm always doing something."
As for The White Lotus' wildly popular second season, where Plaza gives audiences a look at both her funny and serious sides, she admitted she's yet to see watch part two's Sicily-based murder mystery in full.
"To be honest, I haven't seen it," she admitted. "I've seen the first and second episodes, but I'm gonna wait."
"I'm too nervous," she continued. "So, I'm hearing about it from afar, but I'm gonna watch it like, later when I can watch all of them."
She has caught wind of the fan-created memes from the show, adding, "They come up with the craziest things on the internet."
The HBO Max hit was just renewed for season 3, sans location or cast, but if Plaza should be asked back, she told ET she's all in.
"I'll take what I can get. If people want me, they want me," she said, still slightly unsure, "It's too early to tell."
See who else hit the carpet at Monday night's Gotham Awards in the gallery below.