Cringe comedy titan Nathan Fielder is back, and he’s been practicing.

On Wednesday, HBO debuted the first trailer for “The Rehearsal,” a new unscripted series starring Fielder, who also serves as writer, director, and executive producer. Like Comedy Central’s cult hit “Nathan for You,” which amassed a loyal following during its four-season run, the show meets Fielder at the intersection of good intentions and intensely awkward missteps. In each episode, Fielder will help his subjects rehearse for big moments in their lives — a scary decision, a difficult conversation, etc. — using trained actors and elaborate replicas of real places.

“It was a very expensive pilot,” Fielder said in an interview with Vulture. The first episode includes a recreation of Brooklyn’s Alligator Lounge, where a participant plans to have a hard talk with a friend. “One of the crew members told me the cost to replicate that bar was...