The Voice coach revealed to People that he most enjoyed shooting love scenes with Jenna Dewan, who plays the wife of his character Leo.
"Strangely enough, I'm not uncomfortable doing things like that," Levine joked.
He added: "Jenna's a professional and she's amazing, and we have a lot of fun. We were laughing and joking the whole time."
American Horror Story creator Ryan Murphy also recently commented on the return of Dylan McDermott to the series at some point in season two.
"He's a big part of the last chunk of the episodes," Murphy teased. "We plotted and plotted and came up with something - I love it because it's a real departure for Dylan, who is usually such a handsome leading man."
The series airs on FX in the US on Wednesdays at 10pm. Season two will premiere on FX UK on October 30 at 10pm.
Watch a teaser for American Horror Story: Asylum below: