"Slowgirl" is about a teenage girl who flees a problem by retreating to her uncle's home in Costa Rica.
Peterson says he is lucky to have been cast in hit movies and TV, but insists that was a result of his work in Chicago.
And although he appreciates the time spent on TV, he says he felt stuck in Hollywood.
"It was great and it was wonderful, and I really enjoyed having a chance to totally explore that medium, but at the end of the day, it's too hard to tell good stories," said William Petersen.
Peterson says he's looking forward to seeing shows at some of the city's other theatres.
"Slowgirl" runs through August 25 in Steppenwolf's upstairs theatre.