Officially titled "American Horror Story: Coven," the series this season will star Lange as a witch named Fiona.
Lange told a group of reporters during the Television Critics Association's annual press tour Friday that "AHS: Coven" will feature some witches and some historical characters, and it "encompasses a lot of different stories."
"I've shot two days so far, one day entrances and exits, the other day a scene. I don't know who the character is yet. It comes in little dribs and drabs," Lange said.
Lange earned an Outstanding Supporting Actress in a Miniseries or Movie category at the 2012 Emmys for the first season of the show, and earned an Emmy nomination last month for Outstanding Lead Actress in a Miniseries or Movie for the second season, which was titled "American Horror Story: Asylum."
"American Horror Story: Asylum" leads this year's Emmys with 17 nominations, including an Outstanding Supporting Actress in a Miniseries or Movie nod for Sarah Paulson -- who will play Lange's daughter in "American Horror Story: Coven."
Also starring Kathy Bates, Angela Bassett, "American Horror Story: Coven" will debut in October.
Lange, 64, has been nominated for six Oscars during her career, and won for Best Supporting Actress for “Tootsie” in 1983 and “Blue Sky” in 1995.