The Sadie show

Messy black hair tucked behind her ears, she is elfin and thespy in black leggings, black puffa jacket, sparkly legwarmers and tiny pink and white striped socks.

Two and a half years ago, when I last met her, her pretty green eyes were flat and guarded and she radiated a hint of sadness along with a streak of toughness: she was nerve-wracking to interview because she so clearly distrusted the press following her high-profile divorce from Jude Law.

But today her gaze is clear and she is straightforward and friendly, clearly strong in herself. 'I think I am,' she agrees in her flat North London voice. 'I'm realistic and positive and not full of self-pity - that's the hard thing when you go through a divorce. "Why's this happened, why, why, why?" Now it's like, "I'm glad it's happened; look what I've got in my home, look at my kids, look what I'm doing right now, in this play."

With my work, in every degree, I've got a depth I didn't have before.' It sounds as if she's grown up. 'I think I have,' she agrees. She bursts out laughing. 'It took a long time!'

Sadie, 43, and her best friend, Kate Moss, were at the centre of London's most glittering and hedonistic clique all through the Nineties. Rich, young and beautiful, she and her posse of close girlfriends - Kate, Sadie's partner in her fashion business FrostFrench, Jemima French, Davinia Taylor - withstood some of the most thrilling scandals of the era.

The 'Cocaine Kate' allegations, the Pete Doherty madness, the Pearl Lowe wife-swapping saga and Sadie's climactic split from Jude when he turned 30 and she was 37.

It divided the Primrose Hill set, pitting Sadie and her much younger musician boyfriend Jackson Scott against Jude and his much younger actress girlfriend, Sienna Miller. On his side the Britpack actors; on hers, Kate, an alleged suicide attempt, new baby and nervous breakdown.

But she gives a spurt of laughter now at the notion that she is one of the beautiful people. 'Really? I don't think I ever am!' And her hedonistic life? She shakes her head. 'It isn't like that at all. When you go through a time that's a bit more traumatic, you try to distract yourself. I'm sure I did go out to distract myself, but I've got nothing to distract from any more, so I'm quite happy at home.'

Still, she doesn't hide her relief that her life is in a different place from her annus horribilis in 2003. That year divorce left her a single mother of four children, her mentally unstable artist father died of liver cancer, and Nicole Kidman instructed her lawyers to issue proceedings at any suggestion she was responsible for the break-up of Jude Law's marriage, while he lasered off his Sexie Sadie tattoo.

'It was so boring,' she groans. 'I just didn't want that attention more than anything. You want to move on as a person and people are constantly bringing stuff up. It's like, "For God's sake! I'm trying my best here!" ' She grins. 'People die, people divorce, things happen. But I've got the ability to be independent, to move forward, if I can be allowed to, and there was a frustration. I had to put up a façade with people, which I don't have to do now. I don't care, in a horrible way. I'm just, like, happy.'

She is, in fact, just back from 'a family holiday' with Jude in Brazil. 'For Christmas,' she says, 'we do it every year.' She shrugs. 'There's nothing that extraordinary. We get on, and we care very much about the wellbeing of our kids, which means they come first and everything else is secondary. We didn't split up over some big massive crisis that meant we were never going to speak to each other ever again.'

I say it just seemed so intense - she said once there was 'just too much love and too much passion... it can go from incredibly loving to this explosive thing.' 'The press made lots of stuff up,' she replies. 'It wasn't for us.' But her eyes go slightly blank when I ask if she could imagine them getting back together. 'No.' She shakes her head definitely. Because they've both changed? 'Your relationship goes to a different level. You've moved. Hm!' she adds with amusement, into the slightly awkward ensuing silence.

Though Jude proposed to Sienna, they never married. Last year he was linked to Kimberly Stewart and Lily Cole; Sadie is also on her own after being linked to several twenty-something toyboys: Jackson Scott, whom she lived with after Jude; Andy Jones, an actor; Alex Zane, a TV presenter; Tom Wright, the son of DJ Steve Wright, and, most recently, the underground musician Kristian Marr; so what's with the younger guys? 'Listen, you say that, but I split up with Jude six years ago and I've only had one proper relationship in that time,' she exclaims good-naturedly, meaning Jackson Scott. 'Most of the time I've done what normal women do, which is go on dates! I just happen to be pictured on them.'

And the younger guy thing? 'It seems weird even talking about it! But the reason, I suppose, for a woman like me that a younger man would work is because I have a lot of things to do, with my work and with my kids. I think younger guys... they're a bit more brazen, a bit more full of life. They're going to go, "She's a cool woman, she's got her life on track." Whereas an older guy... young men don't seem to be so intimidated. But, I mean, it's not a choice. It's just what happened.'

I tell her that when we last met she said she was over younger men and wanted an older man who would live in the country, eat vegetarian and love kids. 'God I talk a load of shit, don't I?' she says. She bursts into giggles. Though it was never about the money - she got together with Jude when she was the film star and he was fresh out of drama college - she is now, at 43, in a great position. She reportedly got a settlement of £15,000 a month plus the £4 million London house, and her four children are growing up. Finlay, by her Spandau Ballet ex, Gary Kemp, is 18, and Rafferty, Iris and Rudy, all by Jude, are 12, eight and six. She obviously adores them. 'They're all musical, sporty, theatrical; there's a lot of singing and dancing,' she says. 'They've been set a precedent by Raff, who's 12, and a very ambitious, driven, strong-willed child. So they're all quite forceful, which is exhausting. But great; they throw themselves into everything. They're far brighter than I've ever been.'

Her own childhood couldn't have been more different. It began in an unheated Hampstead commune after her 16-year-old mother, Mary Nolan, got pregnant. Sadie's father, David Vaughan, was a heroin addict and psychotic, according to an artist who knew him at the time; Sadie said once that their relationship was terrifying. Before he died, he painted portraits of her: 'Sadie in a Mental Prison', 'Sadie Being Crucified'.

It seemed very unkind. 'Oh, but you can't take someone seriously who's mentally ill,' she says. 'It would be ridiculous. And he had a wonderful side. He's where I get my artistic streak from.' I ask about her youth, growing up with four sisters - she is still extremely close to them. 'It was a colourful childhood, I'd say,' she says. 'We lived on buses, we were on the hippie trail, we drove to Morocco, we lived in barns or weird buildings in Formentera.

I think I lived pretty much in a fantasy world right from an early age. That's probably why I went into acting, because I enjoyed being there.' She pauses. 'I wouldn't say I had a painful childhood, I would say it was extraordinary, and again, I feel there are all kind of things that are characterbuilding in it.' She grins, taking a forkful of peas and pie. 'I'm actually not frightened of saying I'm boring now. It was a friend's birthday last night and a friend of mine was playing and I walked in and the music was too loud and I walked home. I was like, "Too loud." Before I might have stayed for an hour.'

After stage school at Italia Conti - Naomi Campbell was in the year below - she did some TV, got together with Gary Kemp, had their son Finlay, and flew to LA to land what is probably still her biggest film role, in Francis Ford Coppola's Dracula in 1992. She got together with Jude after meeting him on the set of Shopping, and went on to make a string of British movies. 'And then I got pregnant with Raff, so my career always fitted in around me having children. I always wanted a really solid family unit. But even though I embraced pregnancy and having children, it's very difficult for an actress to keep a career heightened once you've got kids. But I'm glad I made that decision.'

More kids are not on her agenda - she's enjoying having more time to herself. With her new freedom she made a short film last year about motherhood, learned the trapeze and resuscitated FrostFrench after it went into administration - she and Jemima have pared down the business to one shop in Islington. Meanwhile, she is throwing herself into Touched.

The'high-energy, contemporary, one-woman, comedic play' tells the story of a Manchester girl called Lesley from the moment, aged 14, she hears 'Like A Virgin' for the very first time. Sadie leapt at the opportunity when she was sent the script by Lloyd Webber. 'It's just a really good play,' she says warmly. 'It's rare that this kind of play comes along, particularly for women, and it's something I can identify with, because I think Madonna had an effect on everyone's life, and she's incredibly iconic and an incredibly powerful woman. And the play bookends different times through the Eighties and Nineties, so it's really nostalgic; it brings back memories of Madonna but also of what was going on politically. And I could identify with it because my family was originally from Manchester.' Has she met Madonna? 'I've met her briefly and she's just very cool.' Very charismatic? 'I think when you've got that much charisma you don't have to be shouting it out --you'd be exhausted. I met her with a friend in a hotel in London.'

Sadie helps herself to a mini Creme Egg that came with the bill and we head back into the arctic cold to the rehearsal room. On the way the subject comes up of our shoot the previous day. 'My nipple kept popping out,' she recalls with amusement. 'He didn't like that, the fashion director! "Put it away!" I was like, "Who cares!" ' And with this brief bohemian cameo she grins and vanishes into the red Victorian building.

Touched... For The Very First Time opens at Trafalgar Studio 2, 14 Whitehall, SW1, on 4 February (0870 060 6632)