Watching the show, where he played deputy Shane Walsh, offers a moment of down-time for Bernthal, who these days is juggling TNT's television series "L.A. Noir" and filming of "The Wolf of Wall Street," a Martin Scorsese film about Wall Street corruption also starring Jonah Hill, Leonardo DiCaprio and Matthew McConaughey.
Bernthal told The Associated Press he's thrilled to be working with Scorsese.
"He's always been one of my favorite filmmakers, the guy I've always dreamed of working with," he said. "It's a really cool cast and based on a true story, so it's been a really exciting project."
Bernthal also has a finished film, "Snitch," due in theaters in February. The movie, starring Dwayne Johnson, is about a father who goes undercover for the DEA when his son is imprisoned after being set up in a drug deal.
But Bernthal says the real news in February will be the arrival of the newest member of his family. He and his wife, Erin Angle, are expecting their second child. While Bernthal says he'd like to find out the sex of the baby-on-the-way, his wife wants to be surprised.
"She calls the shots in that department, so we won't be finding out until February," he said with a laugh. The couple has a son, Henry, who is 15 months old.
Bernthal is also heading to New Orleans this weekend to greet fans of "The Walking Dead" at the Wizard World Comic Con conference. His character was killed last season, returned as a zombie and was killed again.
"I'm very much still watching it," he said. "I'm still a fan."