Madrid – Antonio Banderas is not done yet. Currently shooting “Altamira” – his first majority Spanish film in two decades, outside his own productions and collaborations with Pedro Almodóvar – Banderas, one of Spain’s biggest Hollywood success stories, imagines a future based out of New York, Madrid and his hometown Málaga in Andalusia, Spain.

That is a sign of the times. The recipient of an honorary Goya at Spain’s 2015 Academy Awards, as an actor, Banderas is currently starring – and sporting a Victorian beard for the purpose – in Hugh Hudson’s family-skewing historical drama “Altamira,” co-stars in Patricia’s Reegen’s ”The 33,” in post; appears in Paramount Pictures’ The SpongeBob Movie: Sponge Out of Water,” and in Terrence Malick’s “Knight of Cups.”

As large questions remain about Spain’s future state financing structures, Banderas is emerging as a possible lynchpin between the U.S. industry, its finance, distribution muscle, studio facilities,...