There are surprisingly few signs of starriness attached to Alan Cumming.

On the one hand, the Aberfeldy-born actor has recently become a living room regular by way of a recurring role in the Ridley and Tony Scott produced legal drama The Good Wife. Yet, as he returns to Scotland to play the title role in a very singular version of Macbeth with the National Theatre of Scotland, he prefers to station himself in the darkest, most faraway corner of the city centre bar/restaurant he's conducting post-rehearsal interviews in.

This is a little bit different from when he last appeared onstage on home turf. That was in a flashy version of Euripides' The Bacchae, which, as with Macbeth, was directed by NTS associate John Tiffany.

Then, during a day of interviews at the Groucho Club in London, Cumming seemed more ebullient in a way that matched his turn as original party animal, Dionysus.

Almost four years on and playing one of the most intense roles ever written, Cumming is as focused and as open as he ever was. Where Dionysus put a spring in his step, however, there's an added thoughtfulness at play to the Cumming playing Macbeth. Of course, coming at the end of a long day in the rehearsal room with Tiffany and New York-based co-director Andrew Goldberg, Cumming is probably shattered, and you can forgive anyone entering Macbeth's ambition-laden psyche for feeling a little, well, troubled. Especially given that Cumming, Tiffany and Goldberg have opted to approach Shakespeare's play, not as some windswept classic, but have set it in the locked ward of a psychiatric unit. So Cumming isn't actually playing Macbeth per se, but becomes instead a patient channelling the story of the Scottish would-be king, all under the insistent gaze of CCTV cameras that capture his every move.

"It's hard work," Cumming says, "and very daunting, especially with the two narratives, which we're making up and trying to make intertwine. So it's super-intense, and it's hard physically to focus sometimes, because you're making something up, and up until this week it was just me and two directors. So you not only have to hold the energy of it, but because it's just you, you have to tell them what you want. It's been fascinating on all levels. I've just been living in this hermetic bubble. Apart from a few nights when I've gone out, I've just wanted to go home and learn lines, or go swimming, and I feel really good. By the end of the day I'm not really in the mood to speak to people, but I'm going to have lots of fun after the performance. That's the way you have to do it."

While such intensity sounds the opposite extreme of Dionysus, there are similarities. Both plays put Cumming's very personal interpretations of classic characters at their centre, and, as Cumming tells it, Dionysus and Macbeth sound like two sides of the same coin.

"I suppose in a way Dionysus was the puppet master in that play," Cumming observes, "so there's a similar issue there. They're both men who are having issues with the gods, I suppose. They're both very primal. These are deep, deep things you're dealing with. It's hardcore."

Cumming is quite often at the centre of his work, be it in acting or in the myriad of projects he has on the go. One of these is Alan Cumming Snaps!, a photography exhibition currently on show in New York. With the images portrayed capturing a fleeting moment, often by way of a self-portrait, each comes with an explanation. "My life is a colourful blur," Cumming's artist's statement ends, "and so I only think it appropriate that the pictures I take embody that too."

He says: "People have really responded to how honest I am about the pictures. They're of things that have happened to me, moments I've had in my life, which were good or bad or nice or weird, and I've just wanted to take a picture of them and keep them and share them with people. It's another way to communicate with people, and that's what I really like about them.

"I realise that in my life I've done more and more different things that are all about connecting with people, and now it's through photos. And people really like the fact that they're getting a bit of you as well, a bit of your spirit."

In The Good Wife, Cumming plays Eli Gold, the bullish campaign manager of a corrupt politician. He was approached to appear in one episode, and almost turned it down until his manager persuaded him.

"I always say that's presumably why you pay these people all that money," Cumming says, "because they make good decisions for you sometimes, when I would've passed on that. There was no way of knowing it would become what it is now, but I'd have been horrified if I'd not had it. I feel I've got this double life. By day, middle-aged Jewish political man in a suit. By night, downtown crazy person. It's hilarious the situations I find myself in and I think, what would Eli do? Probably run screaming from the building.

"Another thing I've thought about, as I get older as an artist, as you get more well-known, people know more about you as a person, for good or bad, so they connect with you as a person as much as an actor. I think that's a really great thing if you can do that. I mean, a lot of why I think Eli has gone so well is because people are like, that's Alan Cumming, and I like that. They're fascinated that I'm playing that kind of character, but being able to bring a frisson to it, I think that's really great."

The Good Wife may well allow Cumming to play with cross-type casting, but it also lends him the practical benefits of being able to live at home in New York and indulge himself with less commercial projects. At the moment, beyond Macbeth and The Good Wife, there are forthcoming films to promote, a memoir to finish and a record to complete.

Since he's been back in Scotland, Cumming has performed at the Citizens Theatre in Glasgow as part of a star-studded gala in honour of comic legend Johnny Beattie. Two days after our conversation, Cumming is wheeled out as one of the celebrity supporters of the Yes Scotland campaign for independence.

Given that he's playing Macbeth – or a pathological version thereof – there's a delicious irony seeing Cumming sat next to First Minister Alex Salmond – another man who would be king – but there's a sincerity to Cumming's gesture. He's already gone on record that he intends buying a home here to be able to vote.

"I've always got a thousand things on," he says. "It's fun. I get inspired, and I have a really good system to be able to make them all happen. Sometimes I wish I didn't have so many ideas, and people come to me with really exciting things as well. I do lots of little weird things, and I make a lot of my own work, then every few years something comes along that I think is really challenging. It really freaks me out and I become obsessed with it, and then think, what am I doing. I do that. I can look back at things I've taken on which seem really reckless and stupid at the time, but I love doing them. This is one of them," he says of Macbeth.

"Ultimately I want the audience to be moved and scared and thrilled. You would want that from any production of Macbeth, but this one's quite different. It's got some horrifying bits in it. I'm upset and horrified on a regular basis every day."

Macbeth, Tramway, Glasgow, June 13-30; Rose Theatre, Lincoln Centre Festival, New York, July 5-14. Visit www.nationaltheatrescotland.com.