Towards the end of Meghan Markle and Prince Harry's tell-all interview with Oprah Winfrey, the TV icon asked the Duchess of Sussex if she had any regrets about joining and then exiting the British royal family.

Markle admitted that yes she did have one. "My regret is believing them when they said I would be protected," she said.

"And I regret believing that because I think had I really seen that that wasn't happening, I would have been able to do more, but I think I wasn't supposed to see it. I wasn't supposed to know and now because we're actually on the other side, we've actually not just survived but are thriving," Markle added. 

Prince Harry chimed in and added that he didn't have any regrets.

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"I'm really proud of us. I'm so proud of my wife," he explained. "She safely delivered Archie during a period of time which was so cruel and so mean. Every day I was coming back to my life in London and she was crying while breastfeeding Archie. We did what we had to do."

Meghan Markle and Prince Harry said racism, bullying, mental health struggles, and lack of security/support caused them to leave the royal family.  (AP)

Elsewhere in the interview, Markle described how she felt she "wasn't being protected" by the institution in the same way other members were.

"They were willing to lie to protect other members of the family, but they weren't willing to tell the truth to protect me and my husband," she explained in reference to tabloid stories. 

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Markle also clarified that she was welcomed into the family but that the family members themselves are different from "the people running the institution."

Prince Harry and Meghan Markle said they were treated differently compared to other members of the royal family.  (Joe Pugliese/Harpo Productions via AP)

She emphasized that the queen herself "has always been wonderful to me."

Markle also said that she didn’t "fully understand what the job was" when she married Harry. She claimed, "there was no way to understand what the day-to-day was going to be like."

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"That’s what was really tricky over those past few years, is when the perception and the reality are two very different things," she said. "And you’re being judged on the perception, but you’re living the reality of it."

The Associated Press contributed to this report.