But it has caused the nation's collective eyebrows to raise.
The classical actor has long stunned the theatre world with the likes of his King Lear, taken cinema audiences aback by stealing the limelight from Brad Pitt in Troy or scared us senseless with the menace of his original Hannibal Lecktor, as the name was spelled in Manhunter.
Yet, now the Hollywood A-lister has committed not only to sitcom – he's the star of Bob Servant Independent, the story of a larger-than life Dundonian eccentric – he's appearing on a relatively low-profile TV platform and the is show filmed in Dundee.
In terms of career surprise moves, it's right up there with Sir Ian McKellen turning up in the Rovers Return and ordering up a plate of Betty's hotpot.
"I've been living in New York and I guess making this comedy show is about me realising it's time to come home," Dundee-born Cox explains at the BBC Scotland HQ at Pacific Quay.
"But it's also about returning to the light."
The light? Cox, now 66, is speaking literally and figuratively. Brought Ferry, he explains, has great light.
And he rewinds on summers as a boy waking at 4am to welcome the sunshine. But the figurative light he's moving towards is a direct reference to the darkness of his past, the time spent by his ancestors in Glasgow.
"My family are Irish – my grandfather came from Derry, and then came to Glasgow," he reveals. "And when I look at my family history the hardest time of their lives was when they all lived in the city. They were miserable, mad, and they all lost children.
"My great-grandfather on my mother's side died in an asylum in Gartcosh in the most appalling circumstances.
"And he lost five of his eight children. My grandfather lost his wife, his mother and five siblings, having watched his father being consigned to the poor house, with his younger brother going into a reformatory and the other brother go into care.
"So in my DNA there are very bad memories."
Cox 'loves the people of Glasgow'. But he believes Glasgow has demanded a great deal from its inhabitants; economic repression, the religious divide, and the vast gap between rich and poor.
"My great-grandfather's mother-in-law lived on a stair – literally – in Cowcaddens," he reveals. "Yet, at the same time, Glasgow was a city of great wealth and built on slavery."
He adds, in soft voice; "Look, I have respect for the city. The Glasgow Art School is the greatest art school in the world. But we (his family) had to visit Glasgow in the fifties and it scared the bejaysus out of me. The city glowers.
"You only have to look around the city to see the homes of the tobacco merchants who bought and sold people. Did you know families in Ayrshire had black slaves who were made to serve their masters wearing kilts?
"And did you know that in Glasgow in the 1950s, neighbours were deliberately split up in a form of social engineering to recreate communities?
"Of course, town planners claimed to have positive reasons for doing this, but can you imagine what this did at a human level?"
The socialist actor's critical appraisal of Glasgow (he supports independence, but not the SNP) isn't directed against its ordinary people.
"Look at Billy (Connolly)," he says. "He's amazing. And I love his comedy but his storytelling comes from the darkness of the city he was born in.
"It's the comedy of oppression. I'd be a completely different creature had I been brought up here."
He adds, with a wry smile; "That's why my sitcom character Bob Servant (a hamburger seller-turned politician) has to come from Dundee. He's buoyed by the east coast light of optimism.
"His comedy is upbeat, not like the miserable Glaswegians we see in sitcoms such as Rab C. Nesbitt, which is a very funny show. But it's a different funny."
Cox wants to live towards the light of laughter. "Absolutely," he says, smiling. "I love comedy, I was a Jerry Lewis/Dean Martin fan as a kid, and as I've got older I've been looking for more light relief.
"But until now I've never really performed it, even though I've always felt I had a natural comic bent."
"My favourite show on television is The Big Bang Theory (C4). It's brilliant."
He adds, grinning: "Having said that, in the past I've tried to bring comedy to my serious roles, even King Lear (a tale of madness and betrayal), because I look for the absurdity in life rather than the drama mask."
Cox clearly loves comedy, but can he take a joke?
Here goes. Perhaps he's been a little harsh on Glasgow? It can't all be down to ancestry. Was he once dumped by a Glasgow girl?
"Not at all," he says with a booming laugh. "I was once dumped unceremoniously by a girl from Pitlochry, but no, not Glasgow. And while I've always loved the Glasgow humour, the city is just not for me."
He can't resist a final pay-off. "Did you know it was a Dundonian, Will Fyffe who wrote I Belong To Glasgow? You see, only a Dundonian could take Glasgow and all it's darkness and write such an upbeat song about it."
l Bob Servant Independent, Wednesday, BBC4, and BBC2 Scotland at 10pm,