"I loved it," Theroux says of the bold, opening gambit. "Damon told us about Miracle. He told us about starting with the point of view of the other family.
"But he didn't tell us about that. That's what I find so imaginative about his writing - he's not just going to pick up on a truck going cross country, which I think would be the pretty normal place to start [season two]. He immediately reminds you that the questions are going to be deeper."
Several season one characters have been culled from the show, and it's initially unclear how Miracle relates to Theroux's tormented police chief Kevin Garvey, if at all.
"It's kind of cool. Damon deals the scripts out to us one card at a time, which I like. Because it then sort of enables us to be the audience, I get to be as puzzled as the audience would be, as intrigued as the audience would be. I find his writing compelling and very playable."
Garvey and his family eventually show up in Miracle towards the end of episode one. How they got there isn't revealed until episode two. It exemplifies how The Leftovers so effectively exploits ambiguity - the audience rarely knows what the characters are thinking. Do the actors?
"I think we're largely reactive characters," says Theroux. "Forces outside of us are the things that force us to react. So I usually know what I think I think I'm thinking, if that makes any sense. But a lot of the time what I'm thinking is, 'I have no idea what's f***ing happening!' Which is like life."
The Leftovers became well known for putting its characters through the wringer. It must be difficult not to take the intensity on board.
"I bring the exhaustion home sometimes. But none of us are character actors. I'm not going to be all like, 'Hey, it's Kevin between takes, okay?'
"I think if we learned anything this season, it's that we can be a little lighter between takes. We were trying to maintain the integrity of the first season between takes, a lot of times we would stay quiet. Now we use every opportunity we can to have a laugh and goof around with the camera guys. You have to laugh at some point."
With the Garveys in a new town and The Leftovers marketing itself with the tagline "Begin Again", fresh starts are at the centre of season two. But Theroux doesn't think fresh starts are possible.
"Especially for these characters. Whatever's going on inside you, you're going to bring with you. You can't cut the devil out of you. Most people think they can just pull a geographic and leave their troubles behind. But you just can't, really."
Season two of The Leftovers premieres on SoHo tomorrow night at 10.10pm and then screens Mondays at 9.30pm from October 12.