Having established a reputation as the grumpiest Doctor since at least Christopher Eccleston's brooding ninth incarnation, Capaldi's version of the beloved Time Lord arguably has more in common with Ebenezer Scrooge than his immediate predecessor Matt Smith's madcap performance.
"He's in the Christmas edition but I don't think he favours Christmas, or is interested in it," he says. "But it's a very jolly episode, which is also very scary. We've got a good mix of the frightening and the festive, which is always quite difficult to pull off.
"It's in the tradition of the festive ghost story, as there's something about the Christmas season that triggers some kind of supernatural fear or belief. There's something quite pagan about it, so that's in there as well."
Along with the Second Doctor Patrick Troughton's son Michael Troughton and Natalie Gumede (Coronation Street's Kirsty Soames) in so far unspecified parts, Last Christmas guest stars Simon Pegg's right-hand man Nick Frost, who will take on the formidable character of Father Christmas.
"He's a highly gifted comic actor with a great presence," Capaldi says of Frost. "It's not done in a bogus fashion as he's playing the real Santa Claus. He's not a robot, a monster, an alien being or whatever; he is the real deal."
Crucially, while they appeared to go their own separate ways at the dramatic conclusion of the last series, the Christmas Special also sees the return of Jenna Coleman's Clara Oswald. However, whether it constitutes the final swansong for the Doctor's latest companion remains to be seen.
"There's a dilemma that the Doctor has to solve and she's at the centre of it," says Capaldi. "So he has to find her again and has to help her. Without going into too much detail, it creates some permanent changes in their relationship."
But don't expect a seasonal cameo from Michelle Gomez's sinister Missy, who intriguingly turned out to be the latest - and first female - embodiment of the Doctor's evil archenemy, The Master. "It was a great idea to do that with Michelle and we really wanted to keep it a surprise as that was the best way to do it," says Capaldi.
"It was an interesting swap as they have a total love/hate relationship. They were both men for a long time and now the Master is a woman, they still have that animosity between them. And there could easily be a female Doctor next time; I don't see why not."
Filming on the ninth series is scheduled to begin early next year and Capaldi admits he is feeling more at home in the much-coveted role as he prepares to enter his second season as the Doctor.
However, he also insists he can never afford to rest on his laurels. "I know the environment I'm going into, which is good," he says. "But you can never relax with it because it's too important and it's too iconic. It needs all your attention, so you can't just go 'I know how to do this now', because you don't know how to do it.
"To be honest, you just have to go in there and do your best and not have any sort of grand plan. It would also be dull to say 'we've figured this out now,' because you can never figure it out. You've just got to keep at it and see where it goes."
Last Christmas, the Doctor Who Christmas special, screens on Prime twice on Boxing Day, December 26, at 9am and 7.35pm.