And Penelope, 72, who plays her sparring partner Isobel Crawley, was seen at the 17th‑century Old Grammar School in the village which doubles as Downton Cottage Hospital.
The two were also filmed at St Mary’s Church, which is St Michael and All Angels Church in the TV series. Downton ran for six seasons between 2010 and 2015 on ITV.
The scenes between Dame Maggie and Penelope were among the most popular with fans.
The finale on Christmas Day 2015 was watched by almost 11 million viewers.
There have long been rumours of a film version and after protracted negotiations, filming began this week.
The movie is due for release on September 13 next year.
Most of the cast favourites have returned, including Hugh Bonneville as the Earl of Grantham, Michelle Dockery as his daughter Lady Mary and Joanne Froggatt as maid Anna Bates.
New faces include Imelda Staunton, Tuppence Middleton and David Haig.