Between 2005 and 2013, Bill Hader spent 241 episodes of Saturday Night Live as one of the show’s most reliably funny cast members. But audiences had no idea that the Oklahoma-raised actor and comedian was wound cripplingly tight with nerves each time he stepped onstage at Studio 8H.

“With Saturday Night Live, you just have that one shot . . . that pressure to get it right on live television is what would fuel my anxiety,” Hader told Vanity Fair on Friday by phone.

When Hader teamed up with Emmy-nominated Silicon Valley scribe Alec Berg, he channeled that particular career conundrum—being good and successful at a profession that, on some level, also destroys you—to create Barry, the dark, startling-yet-satisfying HBO dramedy premiering Sunday. In it, Hader plays the title character—a hit man for hire who hates his day job and is ready for a career change. In the pilot episode, while on assignment in Los Angeles, Barry wanders into an acting class and discovers that drama could be his answer. The only problems: he is terrible at it, and the profession’s premise—putting yourself in front of an audience—would blow his cover. “If he books something, he’ll get noticed, and he’ll probably get murdered. The conundrum in his life is that, to achieve his goal, he’s going to get burned. So it’s this weird thing he has to try to work out.”

Asked how he and Berg settled on the hit-man profession for Barry, Hader explains, “Alec and I were trying to think of the kind of character you would not normally see me play.”

Berg was hesitant to center a series on the kind of hit-man cliché Hollywood has mined—an über-cool guy wearing sunglasses and a skinny tie and toting two guns. But Hader, who is low-key in conversation—more like his subdued Skeleton Twins character than Stefon—convinced his creative partner that he couldn’t portray a slick assassin even if he wanted to: “It will still be me, but like me if I had the training to kill people.”

The idea of pairing Barry—the morose hit man—with a theater group was irresistible to Hader.

“You have a character, whose job requires him to kind of be cold and emotionally shut off, finding acting, which requires you to get in touch with your emotions. It’s like, what if Robert De Niro’s character in Taxi Driver met the theater group from Waiting for Guffman, and they helped him?”

To research, Hader and Berg observed acting classes, where they witnessed some bizarre moments that they weaved into their scripts.

“We saw this instructor yelling at an actress and reducing her to tears. And then, while the actress was crying, he said, ‘O.K., do the scene.’ And she did the scene, and she was great. Afterward, she hugged him with this appreciation, and we just thought that was weird that she would thank this person who brought her to tears, so we put it in the pilot,” explains Hader. “We also saw these two guys acting out a scene from Training Day, and the one actor said, ‘I’m playing Denzel’—‘This is the scene where Denzel does this.’ I just thought it was funny to see these actors not referring to the characters’ names, but the movie stars who played them.”

In addition to co-creating, writing, and starring in Barry, Hader also makes his directorial debut, helming the series’s first three episodes. Though audiences got to know him as an S.N.L. regular and in feature films like Superbad and Trainwreck, it is clear that Hader is most comfortable in his new role—as the creator and star of scripted content that is darker and embedded with more comic nuance than spit-take set pieces.

“We had a screening of all eight episodes back in August for the cast and crew, and that was when I felt really just happy and proud of it, because we were able to amass this amazing group of people to make a project that we were all excited about. I’ve been on things as an actor, as a P.A., as an assistant editor. I’ve done a lot of different jobs, and there are jobs that you’re just not excited about, you know? It was nice to be a part of one of the fun ones, and to make a show that I would want to watch.”

Earlier this month, Hader returned to Saturday Night Live to promote Barry, bringing his career full circle by touting the drama he created on the same live-television show that served as its inspiration. “My anxiety was pretty off the charts,” Hader admits of the return, where he acknowledged his stage fright in his opening monologue. “My psyche has a hard time not getting crazy-anxious about doing that show. Since leaving the show, though, my anxiety’s gotten better. I do transcendental meditation twice a day, and try to eat well, and work out. I turned 40 this year, so it’s less about [the physicality of working out]. I mean, I couldn’t get jacked or superhero-ed out if I wanted to. But it’s more just about moving, stretching, and doing things to decrease my anxiety.”

“It’s funny because while making Barry, I was actually supercalm and had a lot of fun,” says Hader. “I was more confident because I knew I’d get a second take. Strangely, writing, directing, executive producing, starring in an HBO show is not as hard as just being a featured player on Saturday Night Live.”

With Barry, Hader seems to have found his career comfort zone. And he is so satisfied with the product—regardless of what audiences think—that he is not even sweating Sunday’s premiere. Asked what he will do to commemorate the occasion, Hader says, “Maybe try to get together with some of the actors on the show to have dinner or a party.”

On second thought, he amends his answer.

“Or I might just chill at home. I just got the new Criterion DVD of The Age of Innocence, so I might watch that,” Hader says, laughing at his low-key plans. “It’s a really good movie.”