He has invested in Hammer Film Productions, best known for its gothic films between the 1950s and 1970s, and is helping to reinvent the brand by using different production formats.
The Hammer House of Horror Live: The Soulless Ones allows people to wander around different rooms to watch more than 100 horror-themed scenes.
Oscar Blustin, co-writer and co-director of the production, said: "It's a show about a hive of vampires, who are looking to perform a ritual that will let them walk in the daylight."
He added that the aim of the show is to attract younger audiences into the "Hammer universe".
Hammer has also partnered with Jägermeister to run a bar at the event and beauty brand Illamasqua is providing the make-up for the actors.
Campbell told Campaign that he hasn’t left advertising but that he no longer works in a conventional agency.
He added: "The definition of madness is doing the same thing over and over again and I began to feel that there were more interesting ways to getting into content production and really building partnerships with brands and helping brands expand themselves than working in an ad agency."
Campbell added that Hammer is "a very powerful brand that transcends any medium" and it was a natural move for the business to launch immersive projects.
He explained: "Immersive is a growth area, it’s much easier to put on an immersive production than it is to make a movie. So it’s easier for us to test and develop IP through immersive than it is through developing a movie."
The show runs at The Hoxton Hall until Halloween.