Glee's executive producers Ryan Murphy and Brad Falchuk have worked on the project, which stars Dylan McDermott as a therapist called Ben who makes a big mistake.
He is forced to move to a new house with his wife Vivien (Connie Britton) and their family, but they soon encounter problems.
Conroy has now joined the cast as the family's housekeeper, Deadline reports.
As well as starring in Six Feet Under, she has appeared in Desperate Housewives and Happy Town and has had guest roles in shows like The Mentalist, United States of Tara, How I Met Your Mother and Grey's Anatomy. She recently worked on the ABC pilot Bad Mum, but it was not ordered to series.
Alexandra Breckenridge has also joined the cast of American Horror Story and will play a younger version of the housekeeper.
Breckenridge's credits include Dirt and Life Unexpected. She recently worked on the CW pilot Cooper & Stone, but the network eventually passed.
American Horror Story, which is said to have "subversive sensibilities", will also star Taissa Farmiga, Evan Peters, Jessica Lange and Denis O'Hare.