"After all the recognition and success that came with that, I was asking myself what I wanted to do," Nyong'o, 32, tells PEOPLE in this week's issue.
"I felt that my world had exploded in a way that was so incredible, but that also made me ask myself, 'Who am I?' I know myself as an actor through the stage."
In the two years since her emotional Oscar win, Nyong'o, who says she likes "doing things I have never done," did just that.
She starred in the iconic, blockbuster film Star Wars: The Force Awakens, as the beloved CGI galactic pirate Maz Kanata. She followed that up by doing a voiceover in another iconic film: the upcoming live action/CGI remake of the Disney classic The Jungle Book, playing Rakcha, the mother wolf who adopts a boy named Mowgli, played by newcomer Neel Sethi.
"What drew me to the project was that Jungle Book meant a lot to me as a child and I had never done voiceover before," she says.
Even so, she never forgot about her desire to return to her roots as an actor. Starting March 6, Nyong'o will make her Broadway debut in the powerful political drama Eclipsed, about the plight of five women during Liberia's crushing civil war. The drama is making history as Broadway's first show to be written by, directed by and starring all women.
"This is a milestone for Broadway," she says. "I am very proud of all of us put together.
"That's what's so great about good plays," she adds. "They really invite an audience to cross oceans and borders and consider another person's circumstances, as though they were their own."
For more on Lupita Nyong'o's Broadway debut and life after Oscar, pick up this week's issue of PEOPLE, on newsstands Friday.
The Mexican-Kenyan actress was introduced to the play in 2009 when she won a coveted role as an understudy in the play at the prestigious Yale Repertory Theater while earning her master's degree at the Yale School of Drama.
"I sat in that rehearsal room and watched these amazing artists create this show and I was just so moved and engaged by this story," she says. "It was the first time I had seen an all-female African story told in this manner and with such specificity."
She met the Zimbabwean-born playwright and fellow Yalie Danai Gurira, who is best known for her role as Michonne in AMC's The Walking Dead, at the Obies in 2007.
"She had just won for her play, In the Continuum, and a friend of mine introduced me to her and we got to talking. I had seen her work in The Visitor and knew about her play and her being African – she was on my radar.
"The next thing I knew, she was doing this play at Yale. And so she was there. We became friendly and we kept in touch and we had always wanted to work together."
"Every opportunity I had, I said to her, 'I want to do this play,' " she says. "I wanted to do it – and I didn't care where! I would have done it in friggin' Fiji!"
Sara Krulwich / The New York Times
In the end, they launched the play to critical acclaim at The Public Theater in New York City last year. Soon after, they learned it was heading to Broadway.
"I was stoked!" she says. "Who doesn't want to go to Broadway, and to do so with a play that is a passion project that I believe fully in.
"That's the best way to do something as big as Broadway, when you truly, truly believe in the material you are doing."
These days, Nyong'o – who was deemed PEOPLE's Most Beautiful in 2014 and has become known as much for her talent as for her style savvy – spends her days not in red carpet couture, but rehearsing for opening night and embracing life in New York City and all it has to offer.
"I love the subway," she says. "I like the convenience of being able to zip here and there."