In a new clip, which surfaced on CBS This Morning, the royal said: "When you're head of the firm there is people around you that give you advice. And what has also made me really sad is some of that advice has been really bad."
WATCH: Prince Harry and Meghan Markle reveal baby's gender
In the exclusive footage, Harry explained how he had suddenly been told he was no longer invited to spend time with the Queen at Sandringham in January 2020. He said the Queen had told him to come and see her after he and Meghan arrived back in the UK from Canada.
"My grandmother had said 'the moment you land, come up to Sandringham, we'd love to have a chat, come for tea, why don't you stay for dinner because it's going to be a long drive and you're going to be exhausted?'" Harry divulged.
However, the dad-of-one got a message from his private secretary at the time, passing on a message from the Queen's private secretary. He said it was "basically saying 'please pass on to the Duke and Duchess of Sussex that he cannot come to Norfolk. The Queen is busy, she's busy all week'."
Prince Harry and Meghan touched upon their relationship with the Queen
Oprah said: "After she'd just invited to you?" Harry replied: "She'd just invited me. 'The Queen is busy, she's busy all week, do not come up here'."
He then revealed how he rang the Queen from Frogmore cottage and that she said there was something in her diary that she "didn't know that I had." Harry said he asked about the rest of the week, and his grandmother had replied that she was busy then too.
In last night's interview, there were accusations that one member of royal family made a racist remark. Chat show host Oprah then dropped in to speak about the reaction from the astonishing chat as she confirmed that it was not the Queen or Prince Philip who made the comment about Archie's skin tone.
"He did not share the identity with me but he wanted to make sure I knew, and if I had an opportunity to share it, that it was not his grandmother or grandfather that were part of those conversations," she explained on CBS.
Asked why she thinks Harry and Meghan agreed to the interview, Winfrey replied: "I think they agreed to do it, wanted to do it, were ready to do it, because when you have been lied about for a series of years, I think anybody can understand this, if in your own office or your own family people are saying things about you that are not true and how hurtful that is.
"Or if you're online and you read the comments online and you see those comments, how hurtful that is, imagine that for a period of months and years and you know that isn't true."
The couple with their son Archie after he was born
In another unseen clip, Oprah asked the couple whether they left the UK because of racism, to which, Harry replied: "It was a large part of it."
Recalling a conversation he had at a Sentebale fundraiser, he said he was urged by someone who is "friends with a lot of the editors". He said: "Please don’t do this with the media, they will destroy your life."
The couple had touched upon various topics in the one-off special - including Meghan's relationship with her sister-in-law, the Duchess of Cambridge, and the depth of her mental health following her royal wedding. The full extent of Harry's fractured relationship with his father Prince Charles was also revealed as well as Meghan personally reaching out to the Queen when Prince Philip was admitted to hospital.
In a lighter moment, Harry and Meghan - who announced in February they were expecting their second child - said they are due to have a baby girl in the summer.
In the US, the show was broadcast on Sunday evening on CBS. In the UK, CBS Presents Oprah with Meghan and Harry will be broadcast on Monday night at 9pm on ITV, and on ITV hub.
Make sure you never miss a ROYAL story! Sign up to our newsletter to get all of our celebrity, royal and lifestyle news delivered directly to your inbox.
Prince William and Kate Middleton return to Wimbledon ahead of British hopeful Cameron Norrie's big match
Princess Charlotte looks so similar to Princess Beatrice in childhood photo
Inside Prince George's private tennis lessons with Wimbledon star Roger Federer
Lady Marina Windsor rocks leather snakeskin trousers and tank top for rare outing
Meghan Markle reveals her favourite location for an ultra-luxury girls' trip
Duchess Camilla's £850k break up mansion she still owns – see inside