It's family first for the couple, who make it a point not to work on different movies at the same time. Or better yet, they costar in the same films, as they did with Pyrates and The Woodsman. Supporting each other career-wise is key, Sedgwick, 44, explains to PEOPLE. "We have our priorities straight, but we also know that work is really important to us," she said. "It's very important for me that I support him in his work and vice versa."