McCarthy, 45, has previously worked with Feig on "Bridesmaids", "Heat" and "Spy".
"Ghostbusters", also starring Kristen Wiig, Kate McKinnon and Leslie Jones, revolves around four women who start a ghost-catching business in New York City.
"I really loved all the stunt stuff. I was asking to be thrown into things. I tried to do everything they'll let me do. Every once in a while Paul, would say, 'No you're not doing that. You're not getting dropped onto a car from 25 feet up'.And when he says that, I'm thinking, 'Yes, that makes sense,' but what I'd hear myself saying is 'Why not?' And Paul would say, 'You're insane,' and walk away," McCarthy said.
The film releases in India on July 29.