The hunky Frenchman - who plays window dresser Henri Leclair, tells Reveal he was a 'big fan' of Jeremy - who plays Ari Gold in US series Entourage - before working with him.
Gregory, 37, says: "When I watched Entourage, I thought Jeremy was amazing but, like all the people you admire, you worry that when you meet them they won't be how you expected.
"They say not to meet your idols but luckily, Jeremy was just perfect. He didn't disappoint - in fact, he was nicer than I was expecting."
The pair are back together again for the second series of Mr Selfridge - and they have quite a bromance going on!
"We have a very close relationship" says Gregory. "We are always really excited to have scenes together.
"Sometimes, especially in this job, you develop a very competitive relationship with others, but that's not the case with Jeremy.
Fans of Mr Selfridge were devastated when Henri Leclair packed his designer suitcase and jetted off to New York at the end of the last series.
Gregory says: "Henri Leclair is a man who really likes women but, at the same time, he is also very respectful of them, which is why he's popular.
"Back in the day, I guess guys like that could exist - I don't know if that's the case anymore!
"Henri is a lover, and when he falls in love it's for real. So I guess that means he's a guy who's going to suffer!"
READ THE FULL INTERVIEW IN THIS WEEK'S REVEAL MAGAZINE - OUT NOW!
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