The actor and Duff ended their almost a decade long marriage in May last year.
"My life has changed massively. At the same time, so much has stayed the same," McAvoy said in an interview with Mr Porter.
He met Duff while they were working on the British television show Shameless, on which Duff played McAvoy's character's love interest. They married in 2006, and have one child together, who was born in 2010.
The couple kept their relationship private and the actor says they will continue to honour that.
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"Me and Anne-Marie, when we were together, it was our policy not to speak about each other in public. We rarely broke that and if we did, it was for tiny things - 'Yes, we are cooking turkey this Christmas' - and that policy still stands. Even separated, we're still respectful of each other and committed to doing that publicly and personally," he explained.
The actor said overall "things are really good" before jokingly accepting that it was a "rubbish, pat answer."
"That used to be my drink - a peaty Talisker, or a Laphroaig. But I find that I can't drink too much whiskey anymore," he said.
"I get a bit leery, a wee bit fighty, a bit chippy, looking for an argument. And I didn't like that. So I mostly stopped drinking it."
McAvoy will next be seen in M Night Shyamalan's "Split".