"I got a big wrap and, like any of the actors who die on Thrones, I just wanted to f*** off out of there - I got a tear in my eye," he said.
"I was more moved and emotional than I thought I'd be."
Harington joked he was jealous of co-star Rose Leslie, who played Snow's Wildling lover Ygritte, because she got to keep a bow and arrow when her character died.
"Rose got a f***ing bow and arrow and I didn't get sh**!
"So yeah, I'm definitely less popular than Rose."
Jon Snow is 'definitely dead'
Jon Snow isn't really dead, is he?
Surely in the world of Game of Thrones he could get undead quick smart?
That's what fans want. That's what the theory is anyway - that we haven't seen the last of Jon Snow.
But Harington reckons his character is as dead as dead gets.
"Quite honestly, I have never been told the future of things in this show, but this is the one time I have," Harington told Entertainment Weekly.
"They (the show's creators) sat me down and said, 'This is how it is'.
"If anything in the future is not like that, then I don't know about it."But I've been told I'm dead. I'm dead. I'm not coming back next season. So that's all I can tell you, really."
Readers of George RR Martin's books on which the series is based maintain Snow's return from the grave is consistently foreshadowed in A Dance with Dragons in ways that haven't made it into the TV adaptation.
They claim Snow's spirit is going to hang out in direwolf Ghost for a while before transferring back into the human world.
Here's why: A Dance with Dragons' prologue is told from the perspective of a dying wildling fleeing after the Battle of the Wall, according to Vulture.com.
Like Bran, the wildling is a skinchanger who can transplant his consciousness into the body of his wolf. After skinchangers die their spirit gets transferred into their animal and the two souls merge into one.
The books hint that Snow also has a skinchanger-like bond with Ghost, which means it's possible that, at the start of season six, his soul will be mingling with the direwolf's.
The theory goes that Melisandre could then use the power of the Lord of Light to bring him back to life.
Another possibility: he could end up being an ice zombie ... whatever happens, it seems fans aren't ready to say goodbye to Jon Snow just yet.