The 59-year-old actor portrayed the character on the first season of the FX series, and discussed Malvo's manipulative and murderous tendencies in an interview with Deadline.
"Even though Malvo is mortal, there is an almost other world-ish thing to him," Thornton said. "He's like a ghost. The way I saw it in my head was, he's the guy who exposes people for who they are. He doesn't respect weakness, he sees through people and brings out of them what he sees."
Malvo met Lester Nygaard (Martin Freeman) in the first episode, and influenced the unstable insurance salesman to become violent and duplicitous himself. Malvo was responsible for the deaths of countless characters before he died by Officer Gus Grimly's (Colin Hanks) hand in the finale, and Thornton said the character lived "by the rules of the animal kingdom."
"I suppose he's a sociopath in the sense that he doesn't operate the way normal people do in society," he opined. "I'm not sure though; I was just an actor playing the guy and I chose to play him as an entity and not a man. Sociopath? He's a killer, no doubt, but there seems to be some poetry in his actions."
Malvo's level of evil led Thornton to view the character "as immortal" early on, and he was "disappointed" there wasn't "a more magical way" for him to die in the end.
"There was a part of me that hoped there would be more than just a mortal ending," the actor shared. "Like, there he is on the couch, Gus is outside the door, and the next minute he's gone, and all you can see is a wolf in the middle of the road."
Thornton has been nominated for an Emmy for his performance as Malvo. He and co-stars Freeman, Hanks and Allison Tolman will not return for a second season because the series follows an anthology format. The actor will next appear alongside Robert Downey Jr. and Robert Duvall in The Judge on October 10.