McAvoy loved the character's transformation.
"This guy is almost suicidal with apathy and depression and then becomes this - not necessarily a super hero - kind of more of an anti-hero," McAvoy told Early Show co-anchor Julie Chen. "He becomes quite psychopathic I suppose. It's in his DNA to off people. Kind of disturbing."
Angelina Jolie plays the assassin who teaches McAvoy's character the ways of her profession. McAvoy said that at first he was slightly intimidated about acting opposite the film - and tabloid - star.
"It seemed kind of strange," he said. "And then within a couple minutes of meeting her she's just a cool, chilled-out person and very, very good for a laugh also."
Jolie, who easily bounces back and forth between action films and dramatic indies, told McAvoy that the trick to handling the transition is to not take action films too seriously and just have fun.
"(Action films) are not changing the world," he said. "They're about entertainment and about having a good time at the cinema. If the people who make them can't enjoy making them then we should give the job to somebody who can. Because it is a privilege and a good time."
Action is also new territory for McAvoy, who is best known for his critically well-received work in "Last King Of Scotland" and "Atonement."
"This is a big difference for me," he said. "Really I've been lucky in my career to have a choice and variety. This really presented an opportunity to try something completely different, completely new and really satisfy me. I think it's quite a dramatic story more than just being a big old action film."
The Scottish actor said he had no trouble working in an American accent. In fact, he uses an English accent more often than his native Scottish accent.
"When I did 'King Of Scotland' I thought 'this is weird. I don't feel like I usually feel when I'm acting.'" he said. "It took me a couple of days to get away from that. Because there's 5 million Scots and about 250 million of you guys and there's 50 million English people so there's bound to be more stories about you guys than about Scots aren't there?"
"Wanted" opens Friday.