The 28-year-old Irishman announces in a video teaser for the short films that there's been a change of plans and he's decided to move on from mixed martial arts to take up race riding.
"Alexander wept when he had no world left to conquer," McGregor says in the first 107-second instalment released overnight.
"That's exactly how I feel. Today, I would like to announce to the world that I'll become the pound-for-pound No. 1 jockey on the planet with the help of my new trainer. I'll be competing in and winning the Pegasus World Cup Invitational. That's right. I'm going to be first."
Since being posted the video has been retweeted more than 3500 times.
Four short films will be released weekly in the countdown to the January 28 race, which bills itself as "the world's richest thoroughbred horse race".
It is believed they will show McGregor working around stables, training as a jockey, bonding with his horse and, most importantly, learning how to ride.
Whatever happens, it certainly has to be safer than caged thoroughbred racing.