Devils is a financial thriller that originally premiered on Sky Atlantic in Italy in April. The series was released by The CW in the U.S. in October.
"We shot ... the exteriors in London and the interiors in Rome. We shot it two years ago," Dempsey said of the show.
"With COVID, the show was purchased by The CW and then it's been released this year, which was a surprise to everyone," he added. "Which has been very positive."
Devils is based on the Guido Maria Brera novel of the same name. Dempsey plays Dominic, the American CEO of an investment bank and a mentor to Italian trader Massimo Ruggero (Alessandro Borghi).
On Ellen, Dempsey said he understands his character's motives, which are purposely unclear to the audience.
"I'm very clear on it. Absolutely," he said. "I think that's what's fun about this character, you don't know if he's a good guy or a bad guy until the very end."
Dempsey said the Devils cast and crew will begin production on Season 2 early next year.
"We're getting ready to start shooting Season 2 in February in Rome," he said. "We'll deal with a lot of what's happening right now with COVID, and also getting into a lot of the technology and the AI, moving into Season 2."
Dempsey previously played Dr. Derek Shepherd, aka McDreamy, on the ABC series Grey's Anatomy. He returned as his character, who died in Season 11, in the show's Season 17 premiere last week during a dream sequence of Meredith Grey's (Ellen Pompeo).
On Ellen, Dempsey said he will continue to appear as Derek throughout Grey's Anatomy Season 17.
"I'm not sure how many [episodes]. I know I'm throughout this season, he comes back to visit," the actor said.