The pair delve into Harry's personal life — from his trauma in the wake of his mother's death to his experience with therapy and recent royal feuds.
"I felt completely helpless," he said, speaking about the press scrutiny he and his wife, Meghan, faced. "I thought my family would help — but every single ask, request, warning, whatever it is, just got met with total silence or total neglect."
Buckingham Palace declined to comment Friday in response to a request from NBC News.
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Harry said he hoped speaking out would help alleviate the social stigma surrounding mental health.
The last time Harry and Winfrey spoke — alongside Meghan — it sent shockwaves from Los Angeles to Buckingham Palace. The couple relocated to the United States last year after breaking away from royal duties.
In that March interview, the couple stunned millions of viewers with allegations of royal racism — denied by the palace — while Meghan also spoke publicly about how royal life and media pressure had driven her to thoughts of suicide.
For Harry, that carried clear echoes of his mother's fate.
"The clicking of cameras and the flash of cameras makes my blood boil. It makes me angry. It takes me back to what happened to my mum, what I experienced as a kid," he tells Winfrey in the documentary.
"I was so angry with what happened to her, and the fact that there was no justice at all ... The same people that chased her through that tunnel photographed her dying on the back seat of that car."
Diana, Princess of Wales, died in the car crash in Paris in 1997 when Harry was 12.
He says he was told by his father, Prince Charles, in the aftermath of Diana's death that media attention and being part of the institution was something he had to get used to.
"That doesn't make sense. Just because you suffered, it doesn't mean that your kids have to suffer. In fact, quite the opposite," Harry says in the documentary. "Isn't this all about breaking the cycle?," he adds.
Even now, at age 36, Harry said that returning to London earlier this year for the funeral of his grandfather, Prince Philip, made him feel tense and anxious.
In the five-part documentary series, Harry is seen undergoing a form of therapy known as EMDR (Eye Movement Desensitization and Reprocessing) to treat unresolved anxiety stemming from his anger at the media and the death of his mother.
Diana made global headlines of her own in a bombshell 1995 interview with the BBC in which she famously told journalist Martin Bashir, "there were three of us in this marriage," referring to her husband's relationship with Camilla Parker Bowles.
An independent report published Thursday after a monthslong probe found that Bashir acted inappropriately and breached the publicly funded broadcaster's editorial guidelines in order to gain access to Diana.
Reacting late Thursday, Harry and his brother, Prince William, pressed for higher standards in the news media after the report found the BBC had acted to cover up the journalist's "deceitful behavior."
Bashir later worked for MSNBC. Both he and the BBC apologized after the report's release, though Bashir noted that Diana had said she had no regrets over the interview.
William said it had brought him "indescribable sadness" to know that lies presented to his mother contributed to the "fear, paranoia and isolation" that plagued Diana in the years prior to her death.
The documentary also sees Harry tell Winfrey that as an adult he, at times, turned to excessive alcohol and drugs.
"I was willing to drink, I was willing to take drugs, I was willing to try and do the things that made me feel less like I was feeling," he said. "Not because I was enjoying it but because I was trying to mask something," he added.
He also discusses first seeing a therapist approximately four years ago at the encouragement of Meghan. They'd had an argument and she recognized his anger seemed misplaced, he said.
The documentary includes contributions from 14 health experts and is intended to have a global reach.
Winfrey also discusses her childhood, which saw her whipped by her grandmother, made to sleep on an outdoor porch by her mother and raped by a cousin at age 9.
Telling her story was crucial to her ability to process it, she said.