Moxley, in the podcast episode released on Wednesday, said that the creative direction of his WWE character led to his departure that took place in April, among other issues.
The grappler explained how he was unhappy about betraying Seth Rollins, having to reference Roman Reigns' real-life battle with leukemia and having to star in a segment about getting vaccinated in order to avoid getting diseases from fans.
"I remember physically leaning on a road case and just feeling like actual exhaustion. Just like emotional, physical mental exhaustion. And not so much because of that day, but because of six year of this. Six years of having to go into this man's office, this old man, and trying to explain to him why wearing a surgical mask is a stupid idea," Moxley said in reference to WWE chairman and CEO Vince McMahon.
Moxley also gave thanks to WWE and thanked the company for his time there.
"Nothing but gratitude toward WWE. Nothing but positivity over here. Nothing but gratitude. I'm so grateful for my run there, that place changed my life," he said.
Moxley was a former WWE Champion who is best known as a member of The Shield alongside Reigns and Rollins, one of WWE's most popular and dominant groups. Moxley ended his stint as Ambrose by teaming up with Reigns and Rollins to take on Drew McIntyre, Baron Corbin and Bobby Lashley.
Moxley made his AEW debut on Saturday at the company's inaugural event titled Double or Nothing. Jericho, another former WWE star, is also a part of AEW along with Cody Rhodes, his wife Brandi Rhodes, Kenny Omega, tag team The Young Bucks and Hangman Adam Page.
AEW released on YouTube Tuesday a backstage video of Moxley commenting on joining the organization. "This is what you call a paradigm shift," he said.
AEW recently signed a television deal with WarnerMedia to air a weekly, professional wrestling program on TNT later this year.