The pair's Argentine Tango will feature a "gangster fight scene", and in a Strictly first, Carney will take the lead role.
"This is a gender-neutral dance," Gu said. "It's the first time we actually have a female dancer leading the male pro."
Carney said she and Gu had been immersing themselves in the Peaky Blinders world all week.
"As soon as you step onto the dance floor you can feel overwhelmed, so we really tried to get into character from Monday morning," she said.
"I love Birmingham," said Gu. "How much she wants to do the city proud has really inspired me."
Reflecting on her Strictly journey so far, Carney said she had been touched by the "kind words and encouragement" from viewers.
"Football has been my identity and I think Strictly has shown a different side to me that I didn't know ever existed," she said. "I feel like I'm being rewired as a human."
Carney said she was also grateful to be part of Tess Daly and Claudia Winkleman's final series as Strictly hosts.
"They are the show, Tess and Claudia," she said "They are the ultimate professionals and they are one in a million, both of them - two in a million rather - and they are diamonds."