"It was literally just studying and seeing what he's doing and asking lots of questions, which he was always open for," the Swedish actress – who plays Cruise's character Ethan Hunt's new ally, Ilsa – tells PEOPLE.
Ferguson – who played the title character in Starz's The White Queen – actually suffers vertigo and admits she was hesitant when it came to some of the daredevil moves involving heights.
"They said, 'We have your stunt double. She can jump in.' And I was like, 'Yeah, but Tom does his stunts! I want to try it out!' " recalls the actress, who quite literally dove into character, bounding off Vienna's 568-foot-high opera house on the first day of shooting.
"I jump around, wrap my legs around Tom, and I sort of remember screaming – swearing! – 'I don't even know what I'm doing!' " recalls Ferguson, 31.
"And he's like, 'Are you okay? You don't have to do it.' And I was like, 'Go!' "
Ferguson looks back on the experience fondly and says she found the challenges involved with a Mission: Impossible film enjoyable.
"For me, it's school: It's like rookie action school," she says. "After having Tom around, if I asked a question, I would leave the room feeling pumped and really excited because he believed in me."
Ferguson says she couldn't have found a better costar.
"I think people forget how fun he is. We laughed so much," she says. "It was just a good collaboration. This is his world, this is his mission, and for him to go, 'What are your thoughts? What are your ideas?' I was just really excited to meet him."
For more on Mission: Impossible – Rogue Nation, and more of the summer's hottest movies, pick up the new issue of PEOPLE, on newsstands Friday
