I believe Connery is relatively conservative. I can recall him calling “feminazis” fascists, as they had a tendency to protest his appearances because of their perverted view that his portrayal of James Bond somehow diminished womynkind for all eternity.
Connery has long been a supporter of the Scottish National Party, and of its leader, the left-wing Alex Salmond.
Out of all the Bond actors, Sir Roger Moore is the most conservative.