The Star Wars actor, 52, who was born in Perthshire, said he is Scottish “wherever I am in the world”.
Speaking to the Radio Times, he said: “I left Scotland at 17 to go to drama school in London.
“I haven’t lived in Britain since 2008, I’ve been living in the States.”
“It was hard to leave Scotland,” he added.
“There’s a sense you’re turning your back.
“People in Scotland to this day tell me to remember where I come from.
“I know where I come from! I don’t need anybody to remind me.
“It’s this feeling of you’re not Scottish enough.
“I’m Scottish wherever I am in the world. I’m always Scottish!.”
McGregor is starring in the upcoming Paramount+ TV series A Gentleman In Moscow alongside his second wife Mary Elizabeth Winstead and spoke about the importance of using an intimacy co-ordinator on set.
The actor plays Alexander Rostov in the historical fiction drama about a Russian aristocrat who is spared from death and put under house arrest while the Bolshevik Revolution plays out.
Winstead, 39, who is known for playing Ramona Flowers in Scott Pilgrim Vs The World, portrays Anna Urbanova – who seduces Alexander.
McGregor said: “We did have an intimacy co-ordinator!
“It’s still necessary, because it’s also about the crew, and it’s odd to be naked in front of people, it’s odd to be intimate in front of the camera.
“If you were doing a dance scene, you’d have a choreographer.
“It’s an important part of the work now, because it’s somebody that the director and actors meet in the middle.”
The Scottish actor also appeared alongside American actress Winstead in the TV series Fargo.
McGregor and Winstead welcomed a child together in 2021 and got married in 2022.
Prior to this he was married to production designer Eve Mavrakis for more than two decades.
The full interview is available in the Radio Times.