He donned an all-white outfit with red shoes. The 42-year-old was joined by co-star Diane Keaton who was dressed in a nun's habit, reported Ace Showbiz.
The two were smiling as they were walking through the picturesque landscapes of the historic Villa Pamphili, while some crew members held umbrellas to shield them from the sun.
The 69-year-old actress was seen making Law laugh as she danced and jumped around the grounds.
Co-written and directed by Italian Oscar-winning director Paolo Sorrentino, the eight-episode series will revolve around "the beginning of the Pontificate of Pius XIII, born Lenny Belardo (Law).
The show is "about dreams, fears, conflicts, battles, the search for meaning and the need for love of a pope, seen through the prism of Sorrentino's unique vision capable of creating worlds that are at the same incredible and more real than reality itself."
Filming will last until February 2016 and will take place in North America, Africa and Puerto Rico besides Italy. The show is made in a joint production with HBO, Sky and France's Canal Plus.
