Mike Ott’s McVeigh is an immersive, chilling, meticulously paced portrait of Timothy McVeigh, played by Alfie Allen, who embodies the bleak, quiet rage of the radicalized terrorist. Entering the story months before he carries out the deadliest attack of domestic terrorism in U.S. history, McVeigh is a loner who spends his days selling bumper stickers and books at gun shows and visiting with Richard Snell (Tracy Letts), a white supremacist on death row. Bothered by the political temperature of the era and Snell’s pending execution on the anniversary of the Waco Siege, McVeigh and Terry Nichols (Brett Gelman) start stockpiling weapons and planning an attack. The details of said attack are never mentioned. Ott and co-writer Alex Gioulakis instead meditate on the man’s psychology.

McVeigh is narratively sparse by design, making certain assumptions and taking liberties, such as the character of Cindy (Ashley Benson), a waitress...