The actor wed Jennifer Aniston in a secret ceremony at their home in Los Angeles on Aug. 5 before spending their honeymoon in Bora Bora. Returning to set in Austin, the cast and crew "gave me a big cheer so it was wonderful," Theroux tells PEOPLE in this week's issue.
Following a global cataclysm in which 140 million people disappeared without a trace, Theroux's character must navigate through a new world of those who were left behind. Season 2 shifts the story to a small town in Texas where "something miraculous occurred," he says. "It's a town that's literally bordered by a fence. For my character and his insta-family, it's a fresh start. But it boxes them in – in a weird and wonderful way."
Despite the intense story lines, Theroux, 44, says there are frequent moments of levity on set with costars including Amy Brenneman, Liv Tyler and Regina King. "It's like a family. You have to keep it light. When the work has to be done, the work has to be done, but if you don't keep it a little light at times, everyone's going to be miserable," he says, laughing. "It's not a space you want to live in when a camera isn't rolling."
So what's it like playing a police chief in a post-apocalyptic world? "It's a tough character," he says. "Every time you get a new script, it's like, 'Oh boy, it's going to go here.' The walls to his struggles are high, but I enjoy it."
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As for his new role of husband, "it does feel different," he says of his marriage to Aniston, 46. But in a really good way. "I'm very happy," Theroux adds. "It's nice to be able to look down and see a new piece of jewelry on my finger."
Season 2 of The Leftovers premieres Oct. 4 on HBO.
For more about The Leftovers and this season's new and returning series, pick up the Fall TV Preview in this week's issue of PEOPLE, on newsstands Friday