In the crime drama, Gallagher plays CIA agent Arthur, who works with his wife Joan (Kari Matchett).
Speaking to The TV Addict, Gallagher explained that he likes the dynamic between the couple.
He said: "I kind of liken it to The Sopranos where you have all of the regular issues of home life and problems and marriage and so on, but what you do for a living is a little different, so when we screw up, we not only could get divorced, but people could die or the national security could be compromised so it adds sort of an additional kind of bit of tension to the relationship. We're having fun."
Gallagher added: "I think it's kind of a great relationship and so we'll see if the creators and the audience agree with us. Otherwise, who knows what will happen."
Covert Affairs premieres on July 13 at 10/9c on USA.