The Mission: Impossible actor hopes to follow the example of Hot Fuzz co-star Paddy Considine, who made his directorial debut with the critically-acclaimed Tyrannosaur earlier this year.
Pegg told PA: "I'd love to do some serious work. It depends on if the audience would let me. Sometimes they don't like comedy people doing serious stuff.
"Tyrannosaur is an amazing film that I saw this year, Paddy Considine's movie. Paddy, who is a very adept comic actor as well as being an extremely clever serious actor, pulled off an incredible feat with that movie."
The 41-year-old added: "It's a really tough, fulfilling film to watch and to get a chance to do something like that... But you know, the audience have to have a say really. "
Watch Simon Pegg in a featurette for Mission: Impossible - Ghost Protocol below: