Slattery, who plays Roger Sterling, first stepped behind the camera last year.
He has now told The Hollywood Reporter that he will repeat the experience for season five.
"[Creator] Matt [Weiner] was very generous to let me direct," Slattery said. "It's a real leap of faith. You don't want to be the one to screw it up.
"I'm going to direct an episode this season, too. When you direct, you're involved with tone meetings, dealing with the studio, producers, all the way through editing. Needless to say, it's very difficult to act in an episode you're also directing."
Slattery, who has just started work on the fifth season of Mad Men, also praised "the subtlety in the language" on the show.
"No-one ever says what they're really after," he said. "You watch these characters chasing satisfaction without wearing it on their sleeves. Last season, when Roger got Joan pregnant, he'd married Jane. You wouldn't have predicted that. Joan and Roger are both married, but their attraction just won't go away. I'm always surprised by what happens."
Slattery's co-star Jon Hamm has already revealed that he will direct the upcoming season premiere of Mad Men.
> 'Mad Men' John Slattery: 'I'm not as funny as Roger'