He is understood to have enjoyed lunch at Halifax's popular restaurant Pride and Provenance, next door to The Piece Hall.
As reported earlier, there has been activity around the historic venue all day.
Dozens of people have been seen carrying set and filming equipment into The Piece Hall, a huge light has been positioned overhead, and there are lots of trucks and other vehicles parked up.
A crowd of extras has been seen gathering outside one of the entrances including some in what looked like traditional Russian costumes.
There was excitement at the weekend when Samuel L Jackson was spotted outside restaurant Da Sandro in Ainley Top and posed for a selfie with a fan.
The restaurant's team said they were "thrilled" to have had the actor dine with them.
"It’s fantastic that more landmarks on our doorstep are being used for filming locations," they said.
"We hope Mr Jackson enjoyed his visit to Huddersfield and Da Sandro’s, we would be happy to welcome him back any time."
Secret Invasion, created by Kyle Bradstreet, will be available to watch on Disney+ upon its release.
The star cast includes Samuel L. Jackson reprising his role as Nick Fury, Ben Mendelsohn as Talos and Cobie Smulders as Maria Hill.
All we know so far is that a group of shapeshifting aliens, the Skrulls, have invaded all aspects of life on Earth. Additionally Olivia Coleman, Emilia Clarke, Killian Scott, Christopher McDonald and Carmen Ejogo have been cast in undisclosed roles.
The Piece Hall is closed until February 1 while filming takes place.
Nicky Chance-Thompson, Chief Executive of The Piece Hall Trust, has said: “We can confirm that The Piece Hall will be closed while filming takes place.
"It’s a great coup for this iconic venue but we are unable to share any more details about the precise nature of the production at the moment.”