It shows the actor dressed only in a yellow jumper and Y-fronts, wielding a kitchen knife at apparently imaginary monsters.
The poster for the Crispian Mills-directed comedy debuted on Empire.
Pegg will star alongside Amara Karan, Clare Higgins, Sheridan Smith and Alan Drake in the film.
A Fantastic Fear of Everything centres around a former children's author who is reduced to a paranoid wreck when he begins researching the lives of Victorian serial killers for a new crime novel.
Pegg is currently shooting Star Trek 2, a role for which he recently declared himself "the Tom Cruise of nerds".
A Fantastic Fear of Everything will be released in the UK on June 8. A US release date is yet to be confirmed.
Watch the trailer for A Fantastic Fear of Everything below:
