The Los Angeles stand-up comedian is in the city filming a zombie comedy about a trio of telecom tradesmen who hide out in an exchange in the middle of a zombie apocalypse.

The feature-length film, titled Me and My Mates vs the Zombie Apocalypse, is being shot in Civic, starring comedians Alex Williamson, Greg Fleet, and Jefferies.

It promises to be the most ''hilariously Australian zombie film to ever be produced'', and is written and directed by Declan Shrubb.

Jefferies joined the set on Thursday to start nine days on the film, which received funding from the ACT Screen Arts Fund of $15,000.

It is Jefferies' first foray into zombie horror, a leap the comic joked had not been without its difficulties.

''Personally, I'm not a horror film guy,'' he said. ''I watch all the horror comedies, but I don't watch a lot of horror films, because why would I want to be scared?

''Scary is an emotion I try to stay away from.''

Jefferies said he had not been to Canberra since he was a teenager growing up in Sydney.

But he's making the most of his time, using a day off on Sunday to do a stand-up comedy show at Ainslie Football Club.

Jefferies is a writer and actor on US comedy show Legit, which is now into its second season.

He has a stand-up comedy tour of Australia planned for this year.