Linda Cardellini Talks Christina Applegate's MS Diagnosis and Their Show Dead to Me 's 'Emotional' End

Leon Bennett/Getty Images Christina Applegate and Linda Cardellini

Linda Cardellini celebrated the premiere of Dead to Me season 3 Tuesday night without co-lead Christina Applegate.

Though costars James Marsden, Diana Maria Riva, Natalie Morales and Brandon Scott were on hand, Applegate, 50, didn't make it out amid her public struggle with multiple sclerosis — but her colleagues' support shined through.

While on the red carpet ahead of the premiere at the Tudum Theater in Los Angeles, Cardellini, 47, discussed Applegate's perseverance and decision to continue filming after her MS diagnosis — but said she "had every right" not to.

"All of us were okay if she didn't want to come back [but] she chose to come back, and I think that's who she is: She wanted to finish it," the Bloodline star tells PEOPLE. "So I just wanted to be there with her to finish it and for us to both be able to lean on each other in anything that we needed."

Although the hit Netflix original show will unfortunately be coming to an end after three seasons, Cardellini says it concludes on a high note.

"There's a line in the last season where I look at Christina and I say, 'I've had the best time,' and then I say, "No, I've had the best time with you.' And I think that really does sum up my feeling about this show," she explains. "I have had the best time and I have had the best time with Christina, and it's very emotional because we love each other so much."

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Matt Baron/BEI/Shutterstock Linda Cardellini

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The Emmy winner plays Judy Hale on Dead to Me, which kicked off in 2019 with the storyline of two grieving widows befriending and leaning on each other after meeting in therapy. Applegate's Jen Harding loses her husband in a hit-and-run, and grieves the loss of her mother who died from breast cancer.

Applegate, a real-life breast-cancer survivor, beat the disease in 2008. Then last year, she announced her MS condition, which is a degenerative autoimmune disease.

"Hi friends. A few months ago I was diagnosed with MS," the mom to 11-year-old daughter Sadie wrote on Twitter. "It's been a strange journey. But I have been so supported by people that I know who also have this condition. It's been a tough road. But as we all know, the road keeps going. Unless some a--hole blocks it."

"As one of my friends that has MS said 'we wake up and take the indicated action'. And that's what I do," the Emmy winner wrote in another tweet.

During her first appearance since her announcement, the Married with Children alum delivered an emotional speech on Hollywood's Walk of Fame, where the cast received a star on Monday. Cardellini was on hand to support her friend during the teary milestone.

Emma McIntyre/Getty Images for Netflix Christina Applegate and Linda Cardellini

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Also feeling the love at Tuesday's Dead to Me premiere was Marsden, who plays Ben Wood and his twin Steve Wood on the show. The 49-year-old actor echoed Cardellini's comments about all the love they all felt while working on this project.

"Bittersweet. These are some of my greatest friends, and the experience has been so fulfilling and rewarding," Marsden tells PEOPLE. "You don't always feel that at the end of a job. Sometimes you're ready to get on the plane and go home and this is different. This feels like a family. I'm surrounded by really wonderful human beings. So that's hard. That's hard to say goodbye to."

Grateful to have been at the "center of the show" with Applegate, Cardellini commends the rest of the cast "who have given their hearts and souls" for four years.

"Saying goodbye to something that is really special is always difficult. But I also think that speaks to the message of the show," she tells PEOPLE, tearing up. "Which is about friendship and grief and loss and forgiveness."

Cardellini concludes, "You feel all of those things when you say goodbye to a show. And I hope people feel those things when they're watching the show."

Dead to Me season 3 begins streaming Thursday on Netflix.