When Glenn Rhee, the scrappy pizza deliveryman turned warrior on “The Walking Dead,” became another casualty of that AMC series, Steven Yeun, the actor who played him, already felt he had outgrown his character. But like Donnie Yen, Joan Chen and other Asian-American performers before him, he had to look outside Hollywood to find three-dimensional roles that defied stereotypes and caricatures.

While “The Walking Dead” led to parts in provocative American indies like “Sorry to Bother You” and “Mayhem,” it’s in South Korea that he got a chance to collaborate with world-class auteurs on serious Palme d’Or contenders. A case in point is “Burning,” the new film from Lee Chang-dong opening this week in the United States. The movie — and Yeun’s performance as Ben, the cosmopolitan rival of the country-bumpkin antihero — earned rave reviews at the Cannes Film Festival in May, and the experience of working overseas made Yeun realize that he didn’t feel exactly at ease in either the United States or South Korea.

“It really just makes you have to go inward and you can only be comfortable in your own skin,” he said in an interview earlier this month when “Burning” played the New York Film Festival. Clad in a fitted black T-shirt, gray slacks and black boots, the 34-year-old Yeun was affable and engaging as he continued, “You try to find yourself amidst all these labels that people are trying to place onto you. You’re just trying to find what it means to be you. And I think that’s kind of what has been my goal the last couple of years.”