Andy risks death in pretty much every episode. A trained salsa dancer and a natural athlete, Ms. Ortiz has usually done her own stunts for other roles. But the punishing heat, the 70-pound turnout gear and the bodily risks mean that in this show, she mostly leaves the leaping-out-of-the-window action to the professionals.

“You go do your thing,” she tells her stunt doubles. “I’m going to be over here drinking my water in this air-conditioned room.”

Andy, no towel folder, goes rock climbing to relax. So this is one stunt that Ms. Ortiz wanted to try herself. After a busy morning making the publicity rounds, she arrived at Chelsea Piers Fitness Center in glitzy makeup, glossy ponytail and black boots with lollipop heels.

Ms. Ortiz hadn’t packed workout gear, but at the front desk she bought a no-nonsense Under Armour set — black shirt, black leggings.Andy moves through the world with confidence and dignity, “like Wonder Woman,” Ms. Ortiz said. Ms. Ortiz didn’t move so differently as she strutted in those heels past the weight machines, the basketball courts and the beach volleyball sand pit, until she arrived at the climbing wall. Matthew Carter, a fitness instructor and a climbing guide, handed her a pair of thin-soled red shoes.  

Once Ms. Ortiz had switched them out for a larger size, Mr. Carter helped her into a climbing rig that looked a little like an S-and-M harness (“We are in Chelsea,” Mr. Carter said with a deadpan) and watched as she tightened it around her waist and thighs. Then he tied on a woven pouch filled with gymnastic chalk.

After all that firefighter gear, the harness felt like nothing. “It’s soothing,” Ms. Ortiz said.

The wall looked like a hunk of moon face topped with sprinkles. Ms. Ortiz studied it warily while Mr. Carter used a carabiner to hook her to a rope anchored at the wall’s top. She gripped the first handhold, and a minute and seven seconds later she had reached the top. “That was too easy for you,” Mr. Carter said after she descended.

Ms. Ortiz said, “You think so?”

He had her go up using only the green holds and then only the blue ones. She was brisk and methodical, her ponytail swinging as she maneuvered for each new hold. Mr. Carter shouted approval as she moved her legs into a wide split. Later she switched up her feet and rebalanced herself on the wall. “Stylish,” he called.

“Now I see why my character would do that,” Ms. Ortiz said, having bounced back down to earth and chugged some water. “It’s like therapy. It’s like meditation.”

“Moving meditation,” Mr. Carter said. He pointed out that it also built up forearm strength.

Strength is what Ms. Ortiz projects, on the climbing wall and off it. It’s what casting agents see. Still, it’s not always what she feels. She has played a rookie cop, a detective, a Marine and now a firefighter — “public-service, badass characters,” she said.

She often wishes she had more of their confidence, more courage. “I am afraid sometimes,” she said.

But even though she is a self-described “girlie girl,” Ms. Ortiz is also a woman who signed herself up for the firefighter’s Candidate Physical Abilities Test as soon as she landed the “Station 19” role, running up flights of stairs in weighted gear, dragging a 165-pound dummy out of a building. So she’s a girlie girl with muscles and guts.