"I was ashamed to say it at the time and ashamed to have to admit it to Harry," she told Oprah Winfrey

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Meghan Markle says royal life took a staggering toll on her mental health.

During her sit-down interview with Oprah Winfrey, the Duchess of Sussex revealed that she had thoughts of self-harm.

"I was ashamed to say it at the time and ashamed to have to admit it to Harry. But I knew that if I didn't say it — then I would do it," she said. "I just didn't want to be alive anymore."

For more on Prince Harry and Meghan Markle's interview with Oprah, listen below to the episode of PEOPLE Every Day.

She continued, "That was clear and real and frightening and constant thought."

Meghan said she "thought it would have solved everything for everyone."

Prince Harry, Meghan Markle
Meghan Markle and Prince Harry
| Credit: Dominic Lipinski/PA Images via Getty

She recalled a January 2019 outing to see a performance at Royal Albert Hall after she had opened up to Prince Harry about her thoughts.

"I remember him saying, 'I don't think you can go,' and I said, 'I can't be left alone.' "

Meghan said she can see in photos from the night that Harry is tightly holding her hand despite their smiles.

"We're both just trying to hold on," she said.

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The Duchess of Sussex also said that every time the theater's lights went down, she was "weeping."

"And that's I think so important for people to remember is you have no idea what's going on for someone behind closed doors. No idea," she said. "Even the people that smile and shine the brightest lights. You need to have compassion for what it actually potentially going on."

Prince Harry, Meghan Markle
Meghan Markle and Prince Harry
| Credit: Chris Jackson/Getty

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Meghan said she was "ashamed" because she wanted to be strong and not put more pressure on Prince Harry.

"That takes so much courage to admit that you need help," she said.

If you or someone you know need mental health help, text "STRENGTH" to the Crisis Text Line at 741-741 to be connected to a certified crisis counselor.