Steven Spielberg and aliens is like cinematic peanut butter and jelly. His "Disclosure Day" is a thriller about a massive government alien cover-up.

On Jan. 1, something amazing happened. Steven Spielberg, a longtime Angeleno and most people’s dictionary definition of “Hollywood director,” became a New York City resident.

His latest – a conspiracy thriller in which Emily Blunt and Josh O’Connor try to blow the lid off a 70-year-old UFO cover-up – is a rare attempt to pull off those two modes at once, and regrettably en...