The actor was 13 when she won the role of Arya Stark in HBO's adaptation of George RR Martin's A Song of Ice and Fire book series, which began in 2011.
O'Brien introduced a clip that showed Williams talking about the show back in 2011 alongside her on-screen siblings Sophie Turner (Sansa) and Isaac Hempstead-Wright (Bran).
"I've never done anything like this before," she says in the video. "It's going to be brilliant – doing this all the time [and] not knowing when this is going to end."
She's also shown talking about her relationship with Turner, whom she calls her "best friend".
Williams can be seen screaming when a young Harington is also shown in the video.
"What are you doing to us?" she asked O'Brien, adding: "This is horrible."
The panel will be available to watch in its entirety on the Game of Thrones season 8 box set, which is released on DVD and Blu-ray on 2 December.
Find a ranking of every single one of the show's characters here.