Cristin Milioti Was in 'a State of Shock' as Her Daily Routine Got Disrupted by 'Meaningful' 1st Golden Globe Nom (Exclusive)

Hours after becoming a first-time Golden Globe nominee, Cristin Milioti is still trying to take it all in.

The star of Max's The Penguin was nominated for best performance by a female actor in a limited series, anthology series or motion picture made for television, and she tells PEOPLE she's "in shock."

"I feel so grateful and joyful and excited, honestly," Milioti, 39, says.

When the nominations were announced in the morning on Dec. 9, the actress says she was "getting my dog into his harness to take him for a walk, and my phone started to blow up."

"I just took him for a walk and sort of tried to take it in," she says.

Since the announcement, friends have been calling and "checking in" with her, but it's fair to say she's still at a loss for words. "I've sort of just been in a sort of state of shock."

The actresses nominated alongside her make this even more of a pinch-me moment. "To look at the women that I'm nominated with, I sort of can't process it," she says of the category's big names, which include Cate Blanchett (Disclaimer), Jodie Foster (True Detective: Night Country), Sofía Vergara (Griselda), Naomi Watts (Feud: Capote vs. the Swans) and Kate Winslet (The Regime).

"I think they are all so brilliant, and that is sort of blowing my mind currently."

"It's always so thrilling when you feel that something that you loved to make gets celebrated in such a big way, and also alongside people who have shaped your life," she continues of the nomination. "I grew up, I'm obsessed with movies, and I'm so profoundly moved to even be in the same room [as these people]."

One of the people who has shaped her life is fellow nominee Jason Segel, who she worked with on How I Met Your Mother. Segel, 44, was nominated for best performance by a male actor in a musical or comedy TV series for Shrinking, and Milioti says, "I'm so thrilled for him."

Though she hasn't yet been in touch about their shared nominations, she says he's "so lovely."

Milioti, who played Sofia Falcone in the series, will admit, though, that a Golden Globe nomination is not something she necessarily "ever envisioned" for herself — which makes it all the more special to be recognized for a show she loves so much.

Recalling her "gut alarm was firing on all cylinders" when she first read the script for The Penguin, Milioti says, "I was like, 'I need to play this. I love this character so much.' And I'm so lucky that it worked out."

"And so to see what it's done and to see the amount of people it's reached, it's just been... Yeah, it's been incredible," she continues of the HBO series led by Colin Farrell.

Whether she'll be able to reprise the role she loved so much is "in the hands of the people up top," she says, but she "would love it."

"I would love to continue to get to play her, and I certainly hope for it, but I haven't heard anything. Fingers crossed.

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The Penguin can be streamed in full on Max and the Golden Globes will air live on Sunday, Jan. 5 at 8 p.m. ET on CBS and streaming on Paramount+.