'Marvelous Mrs. Maisel' 's Michael Zegen on Why the Charming Comedy Is His Favorite Work to Date

Michael Zegen is no stranger to a good TV show — but his latest project, The Marvelous Mrs. Maisel, stands out by a mile.

The actor, who has appeared in everything from Girls to Boardwalk Empire to The Walking Dead, stars in the delightful new Amazon series, helmed by Gilmore Girls creator Amy Sherman-Palladino and her co-creator (and husband) Daniel Palladino.

Set in 1958 New York, the series follows Miriam “Midge” Maisel (Rachel Brosnahan), a young Jewish housewife with a gleaming Upper West Side apartment and two kids, and her husband, Joel, a businessman and aspiring comic played by Zegen.

Ahead of its Wednesday premiere, PEOPLE caught up with Zegen, 38, who dished on everything from the stellar cast and stunning set to why Maisel is his proudest accomplishment yet.

“I’m on edge — I want it to come out already!” he said. “It’s something special, and I’m really excited for people to see it.”

Throughout the pilot, Midge diligently supports her husband’s comedy dreams — but the big twist, of course, is that by end of the episode, Joel realizes that his talent doesn’t quite match his ambition, prompting him to announce that he’s leaving his wife for his secretary. A drunk, despondent Midge stumbles on stage and grabs the microphone herself, and in a splendid ode to female empowerment, realizes that she’s actually the one bearing some serious comedy chops.

“When he bombs, it’s completely emasculating for him,” Zegen explains. “Because, you know, the men are the men — they’re supposed to run the household, and yet it’s becoming more and more apparent that Midge is actually the strong one in the relationship. And the talented one and the funny one. So his whole world crumbles.”

“Why wouldn’t you want to have more female-centered shows, especially in this current climate?” he says. “I’m so fortunate that I’m daily surrounded by these talented, smart, funny women. I love every bit of it. I don’t know why or who wouldn’t that.”

And when it comes to working with Brosnahan, 26, the costars got along, well, marvelously.

“She’s amazing. Anytime I get to do a scene with her, I’m excited,” Zegen says. “And that goes for everybody in the cast — we have an amazing cast. But Rachel, I love working with her because it’s kind of like a theatrical show. We do a lot of these one-takes, where there’s no cutting and there’s no close-up — it’s just the straight-up scene, and the camera is following you.”

“I do a lot of these with Rachel, and it’s like you’re doing a one-act play,” he explains. “You have to know your lines and you can’t screw up, and if you screw up you have to go back to the start. We both come from a theatrical background, so it’s a lot of fun doing that with her.”

While Maisel was shot all around New York City, the main set sits at Steiner Studios, in the Brooklyn Navy Yard.

“They literally rebuilt this five-bedroom apartment in the soundstage to a tee,” Zegen says. “You could live there, if the plumbing worked. It’s incredible. The production quality on the show is like nothing I’ve ever seen before.”

Amazon has already ordered two seasons of Maisel — the streaming service’s first immediate renewal, based solely on the strength of the pilot — but as for Joel’s future? Well, Zegen himself admits he’s not sure what arc his character will take.

“Amy and Dan, the creators — I think they just want us to be surprised,” he says. “And I don’t mind that. I like that. As far as what I would like to happen… I don’t know if I can say anything without giving too much away. But I would just like to see Joel be happy.”

“This is one of my favorite things I’ve ever done,” admits the actor. “It’s definitely the best part I think I’ve ever had. I’ve done so many cool shows but I’ve only been a guest star or a recurring character — I never knew if I was going to be in the next episode, let alone season 2.”

“This is such a great gig,” he adds. “I get to see this character evolve, unlike any other character I’ve done. Or at least, I hope he evolves.”

The Marvelous Mrs. Maisel premieres Wednesday on Amazon.