Warning: Spoilers ahead! Do not proceed if you haven't watched the season finale of American Horror Story: Cult.

Evan Peters is opening up about his "most difficult" season of American Horror Story yet.

During an exclusive interview with ET on Tuesday, the 30-year-old actor revealed what it was like taking on the lead role of Kai Anderson in AHS: Cult and how he felt about that shocking season finale.

Over the course of seven seasons, Peters has been cast in a number of villainous roles, like Tate Langdon in Murder House, Jimmy Darling in Freak Show and James March in Hotel. But none have come close to Kai, whom Peters says was probably his favorite character he's portrayed in FX's anthology series thus far.

MORE: 'AHS: Cult' Premiere: Evan Peters' Pro-Trump Character Revealed!

Frank Ockenfels/FX

"Kai has been a really challenging role, the hardest role that I had to do, so in that respect it is one of my favorites," he said. "I was also in it a lot. [As the main character,] I really got to learn a lot more about the character and sort of explore him more, which was very exciting for me to do. That was really cool."

In spending so much time on set, Peters worked with creator and writer Ryan Murphy more closely than ever before. There were a few times this season where Peters was given the opportunity to offer Murphy suggestions on Kai's appearance and character development. It was actually his idea, for example, for the pro-Trump, psychotic anarchist to have blue hair.

"I also suggested that we get rid of the blue," Peters said of Kai's look in the final few episodes. "It was sort of a stretch for Kai to have blue hair running for city council, but with him running for Senate, I thought it was important that we make him look a little more Senate-ready. And then, of course, they wanted to shave it. I was thinking just, like, a shorter haircut, but they wanted to change the whole thing. Which I think ended up looking scary."

EXCLUSIVE: 'AHS: Cult' Director Gwyneth Horder-Payton Explains Evan Peters' Most 'Outrageous' Episode 4 Scenes

"There was also a little bit of Adderall stuff written, but I wanted to make sure that was really tracking, because Kai was getting more and more manic," he explained. "I think he was already bipolar, but throwing the Adderall in there really sort of amped it up to another level. And then I really liked… Kai has these great mandarin collar jackets, which I always thought was kinda cool and different, sort of cult-like, I guess. Those were oddly religious but not in the script, in a way."

In addition to Kai, Peters was told later in the season by Murphy that he'd be portraying various cult leaders from history, like Jim Jones, Charles Manson and David Koresh. Even though he had worked on AHS for so many years, there was a specific role he wasn't sure if he could handle when Murphy first approached him about it.

"All of the cult leaders were a challenge, but I remember when he first told me I was going to play Andy Warhol, I was just like, 'S**t,'" he recalled. "'I have to research that, I don't know anything about playing him. Can I play that? Is that going to be embarrassing? Am I going to flop it?' So, it was a challenge from the get-go, but I had a great time researching him. He's such a fascinating guy anyways, so it was cool to do that, but, yeah, I was pretty terrified."

EXCLUSIVE: Angela Bassett on Returning to ‘American Horror Story’ Behind the Camera and Starring on ‘9-1-1’

While channeling Warhol was one of his biggest challenges this season, Peters says playing mass murderer Jim Jones was the most gratifying.

"It was horrific to shoot, but the Jim Jones [story] was the most rewarding," he said. "That was fascinating. I was really inside that world, what those people were doing and what they were going through. We shot it in the middle of the night, from, like, 2 a.m. until sunrise. And then immediately, I switched over from playing Jim Jones and they got me ready to play Jesus in, like, 25 minutes. We were racing for the sun."

"I listened to that recording a zillion times," Peters continued, referring to the speech Jones gave on Nov. 18, 1978, at the Peoples Temple compound in Jonestown, Guyana, before 900 members of his cult committed suicide. "That mass suicide tape, the actual recording of him telling his followers to drink the poison. There's this poor lady that's sort of trying to fight for their lives … everyone else is just willing to die and it's really horrific and scary to listen to, but that was kind of cool to research something so much and be inside that world a little bit, as horrific as it was."

Peters tells ET he got into character for the other roles by watching a lot of YouTube videos, listening to them talk, reading books and dedicating hours upon hours to research.

"I did as much research as I possibly could. I just tried to get into the mindset of each character -- who they were, what they believed in and what they were going for. Yeah, I kinda just dove in," he explained. "It was really hard because I was working so many hours and working almost every day toward the end. So it was really... it was kind of exhausting."

Peters continued on, explaining that he didn't have much downtime this season as his schedule was jam-packed. Even when he wasn't on set, he was preparing for the show.

"You'd go to work, it was the weekend, you'd get back on that Saturday at, like, six or seven in the morning. You'd go to sleep, wake up at around three or something. So you'd kinda have a weird, exhausting Saturday evening," he said. "And then on Sunday, you'd have to try to wake up as early as you could, because Monday, you'd be starting work at 6 a.m. again."

"Oddly enough, a lot of these cults, they do sleep deprivation so they can manipulate their followers," he continued. "Sleep deprivation kinda makes you crazy and makes you believe in your insanities and what's in your head. It obviously wasn't healthy, but it was an interesting thing to experiment with."

MORE: 'American Horror Story: Cult' Cuts Mass Shooting Scene In Wake of Las Vegas Massacre

Luckily, his longtime love, Cult co-star Emma Roberts, didn't seem to mind him taking on all these complex characters. In fact, she was very supportive throughout filming.

"Oh, she was awesome," he gushed. "She was very there for me, and also gave me the time that was necessary to research them, play around with it and to be isolated for hours at a time."

"At times she'd be like, 'Whatcha doing down there?'" he joked. "But Emma was very cool, and just sort of allowed me to be me and do my thing and kind of go for it… which was, I love her for that, that's awesome."

Although we didn't see much of Roberts this season, fans were happy to see her return for Cult, this time as reporter Serena Belinda. Her character's tragic death in episode four was brutal, a scene even Peters admits was one of the most memorable killings all season.

"She was great in that scene, I have to say," he said. "I was really impressed by that. She did a great scream when she got stabbed. Like, that's what you would do… that's what she would do [in real life]. It was really cool to see her do that. But obviously, it was really horrific to see her die. She did a great job."

EXCLUSIVE: Colton Haynes Shares Fiance's Surprising Reaction to His 'AHS' Sex Scene

Peters had a myriad of his own horrific, awkward and grueling scenes, like having to urinate in a condom and throw it at a group of Mexicans in episode one, or masturbate in front of Harrison (Billy Eichner) in the steam room during episode four. But he says the most challenging scene to film this season happened during episode 10, when Kai had to kill his sister, Winter (Billie Lourd).

"Oh my gosh. I think the killing of Winter was pretty intense and difficult," he said. "It took all day, it was a really long one. That episode was pretty exhausting, and then with the finale, it had a lot of intensity as well."

During the finale, which aired Tuesday on FX, fans watched as Beverly Hope (Adina Porter) shot Kai after he escaped from prison and tried to kill Ally Mayfair-Richards (Sarah Paulson) while she was giving a campaign speech.

"That scene with Sarah Paulson was really awful to shoot," he revealed. "And that scene with Sarah where I find out that I didn't have to kill Winter. First I have to kill Winter, not only do I find out that, but then I find out I didn't have to. That was… it was just insanity."

Frank Ockenfels/FX

And despite the fact that his character was killed off, Peters said he was happy with how Cult ended, mainly because of its powerful message. "I did really like the ending," he said. "I thought it was really cool and a good thing to say."

Murphy has yet to reveal the theme for next season's AHS, but Peters revealed to ET that he's already approached his boss about taking on a different role for season eight: director.

"I would love to direct," he exclaimed. "I put in my request to Ryan, so we will see what happens with that. I would absolutely love that. I think it would be so fun."

"A lot of the time, I know what I want the scene to be," he added. "But sometimes I think it would be more enjoyable for me to be directing somebody else to do some of these things as opposed to myself, actually having to put myself through it. I think that would be kind of a relief and I would also know how difficult it would be to do some of the stuff, so I'd try to make it, somehow, a little easier. I think I would have a good time doing that."

Next up, fans can catch Peters as journalist Jay Bahadur in The Pirates of Somalia, which also stars Al Pacino, Barkhad Abdi and Melanie Griffith and hits theaters Dec. 8. He's currently filming Murphy's latest series, Pose, in New York City, in another role he finds quite "challenging."

"It's a very complicated role, but I'm definitely learning a lot," he teased. "It's been a great experience so far and I think it will continue to be."