"Every single time I hear a click, every single time I see a flash it takes me straight back," Harry said in the documentary Sunday about paparazzi. Harry's mother Princess Diana died at age 36 in 1997 while bring chased by paparazzi.
"I will not be bullied into playing a game that killed my mom," he continued.
Harry also commented on reports that there is a rift between himself and his brother, Prince William.
"We'll always be brothers and we're certainly on different paths at the moment but I will always be there for him as I know he will always be there for me. As brothers you know, you have good days, you have bad days," Harry said.
Markle, meanwhile, told ITV that her British friends warned her about marrying Harry because the tabloids would destroy her.
"I never thought this would be easy but I thought it would be fair," Markle said about how the royal family has to deal with so many fake stories.
"I really tried to adopt this British sensibility of a stiff upper lip," she continued.
The interviews for the documentary were filmed while Harry and Markle were taking a royal tour of Africa.
Harry recently filed a lawsuit against the Daily Mail and its owner Associated Newspapers for publishing a private letter Markle wrote to her father.