Harry was 12 years old when Diana died in a car crash at age 36 in August 1997 while being pursued by paparazzi. In the interview, Harry said he grew up angry about the circumstances of his mother's death and "the fact that there was no justice, at all."
He said he later experienced panic attacks and severe anxiety as an adult.
"28 to probably 32 was a nightmare time in my life," he said.
Harry said he turned to alcohol and drugs to numb his pain.
"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.
"But I slowly became aware that, okay, I wasn't drinking Monday to Friday, but I would probably drink a week's worth in one day on a Friday or a Saturday night," he added. "And I would find myself drinking, not because I was enjoying it but because I was trying to mask something."
Harry and Winfrey co-created and executive produced The Me You Can't See, which explores mental health and emotional well-being. The series also features singer Lady Gaga, actress Glenn Close and others.
Harry and Markle previously spoke to Winfrey for a CBS special that aired in March. In the interview, the couple discussed their issues with the royal family and how racism partly drove them from the United Kingdom.