"The key is not to come out and try to play the bad guy because I don't know exactly what that would mean. So you try and understand why your character is the way he is," the actor said on Wednesday.
"In this case he comes from a very rich family. He's been sort of ousted from that family. He's got very thin skin, he doesn't like being criticized," he continued about the character of Black Mask.
McGregor will be taking on Margot Robbie's Harley Quinn and her new team of female heroes in Birds of Prey when it hits theaters on Friday.
McGregor, who will be reprising his Star Wars role as Obi-Wan Kenobi in an upcoming Disney+ series, was asked by Meyers if feels any pressure portraying pre-existing characters from Star Wars and DC Comics due to their passionate fan bases.
"I don't really look at it to be honest. I just try not to be involved. I think people hire me and trust me to portray these characters and I trust that in myself," he said.