The actor's character Matthew Crawley was shockingly killed off in a car crash during the 2012 Christmas episode.
Stevens plans on watching the period drama when the new season premieres in the United States this weekend. He explained, "I want to watch it with the American audience... It will be fun. After all, I live in Brooklyn now."
Stevens is currently shooting "Night at the Museum 3" with Ben Stiller.
Meanwhile, Michelle Dockery, who played his on-screen wife Lady Mary, recently traveled to Jordan to meet Syrian refugees. She visited in November with representatives of international charity Oxfam to meet with families who have been displaced by the ongoing civil war in Syria.
"Downton Abbey," which has been nominated for a Golden Globe Award for Best Television Series, airs on PBS on Sunday.