So is there a feeling that Thursday has perhaps returned to work too soon and that, by doing so, he's opted to ignore some deep-rooted problems?
"Well, for soldiers and people who've lived through terrible violence, I don't think it ever leaves you. Whether you've had counselling or not. It can be very depressing and you can try and resist it and ignore it for years, but it'll always come back.
"For instance, I remember teachers at my school who'd fought in the Second World War. There was one in particular who made us listen to Churchill's funeral through a double period. And he just sat there looking into the distance, lost somewhere in his memory. So I often think of him when playing Thursday."
As for the future for Fred Thursday, viewers will soon find out that the bullet has done lasting damage to the no-nonsense DI. But he stoically (or perhaps foolishly) chooses to ignore the threat by ploughing on with his crime-solving. But look out too for a subtle shift in the relationship between Thursday and his protege Endeavour Morse as the series progresses.
"There is a sense that their relationship has become slightly reversed because we see Morse looking after Thursday. He tries to calm him down and stands up to him when he's wrong," says Allam. "In the past, Thursday has always been a bit of a father figure, but now Morse has to father Thursday."
The third series of Endeavour begins tonight on ITV at 8pm.