For Elle Fanning, the biggest challenge of portraying Jesse in director and writer Nicolas Winding Refn’s “The Neon Demon” was making sure she didn’t reveal the character’s true nature too early in the film.

“She is so not one-dimensional,” said the actress while in Chicago earlier this week to discuss the movie. “Initially you think she’s one way — one kind of girl — but she’s actually another. The depth to her, the layers that she has, was fun to play with. I had to go back and forth all the time. I had to bring more of her out but also frequently hide more of her true self as the story unfolded.

“The mystery of her was great. I kind of describe her as Dorothy in [‘The Wizard of] Oz,’ if Dorothy was evil!”

For Refn, the key theme of his film is our culture’s fixation with narcissism, external beauty and maintaining youth for as long as physically possible, no matter the cost.

“I think the origin of the idea was to make a horror film about beauty and this excessive obsession that is worldwide and continues to go up in intensity — it’s now not just an American thing. The other thing that intrigues me is that the longevity of beauty continues to shrink and shrink. In the world of modeling it is now such a short period of time when models are considered truly young and desirable for work. They are constantly becoming younger and younger.”

However, a corollary to that in Refn’s mind is how we look at “inner beauty, which is about purity and innocence and all those things. For me all of that was a great playing field to make a horror film, as strange as that may sound.”

While “The Neon Demon” is often intense, Fanning did want to stress the more humorous, dark humor in Refn’s screenplay. One example was actress Bella Heathcote’s Gigi character’s overwhelming obsession with plastic surgery. “It was funny listening to her describe her plastic surgeon’s critique of all the things that were wrong about her. Here you had this incredibly beautiful — truly flawless — girl describing her face and body as ‘flawed’ and in need of fixing,” said Fanning.

Refn explained the importance of injecting humor into the film, “because we did want to make it entertaining — especially to a younger audience. That’s because the subject is very much about their future. I have a 13-year-old daughter, and seeing how she using the digital revolution is very interesting, compared to what we grew up with. Body image and appearance is so much a part of kids’ worlds today. Where in my youth narcissism was a taboo, a lot of movies today are all about the celebration of narcissism. On one level that is very scary.”

Also showcased in the film are examples of friendship, fake friendship, jealousy and competition between the models. Those are issues — especially in the competitive world of Hollywood — she constantly has to deal with as an actress. Fanning noted, however, that “there is competition in everything and all jobs and professions.”

Because both of her parents were athletes — her mother played professional tennis and her dad played minor league baseball — “competition was part of the way I was raised,” said Fanning. “I too have a competitive nature myself, even if it’s like playing some silly game. So obviously, I can relate to all of that in this movie — though, of course, this is highly exaggerated.”

Perhaps more importantly, Fanning started her own acting career at such a young age, “so I can also relate to what it is like to start working — in this case as a model — at a very young age.” In the film, the actress, who is now age 19, plays a girl who pretends to be 19 but is, in fact, only 16.

“So often, when I started out, I was always the youngest person in the room,” said Fanning. “I know what it’s like to be around older people who would be looking at me trying to figure me out. So I understood that feeling Jesse experienced, being the so-called fresh meat.”

Another aspect that was important to Refn was utilizing Los Angeles as almost another character in his film. For his much-acclaimed earlier movie, “Drive,” Refn explained, “I had focused on the freeways of Los Angeles. This time I wanted to make it more about the houses of L.A. I wanted to capture the feeling you experience as you drive by these rows and rows of amazing houses. There’s the ‘Babylon of Hollywood’ at play here — the mythology of the place that continues to this day and the obsessions that come with that. … So much of it has a very seductive nature to it, but then you come to realize there’s a flip side that’s often ugly and seedy.

“Ultimately, this is a cautionary tale for young girls who might consider becoming models. Be careful what you wish for.”