A sneak peek of the interview was released this week, giving fans a taste of what to expect from the interview where "no subject was off-limits".
"You've said some pretty shocking things here," Oprah tells Meghan Markle in a sneak peek of the tell-all interview.
Harry says his biggest fear was "History repeating itself", a reference to what happened to his mum, the late Princess Diana.
"I am just really relieved and happy to be sitting here, talking to you, with my wife by my side," Harry explained in a clip released by the network. "Because, I can't imagine what it must have been like for her going through this process by herself all those years ago, because it has been unbelievably tough for the two of us, but at least we have each other."
Winfrey is a close friend of the couple, and also asks Meghan in the preview video: "Were you silent, or were you silenced?"
• CBS presents Oprah with Meghan and Harry will broadcast Tuesday, March 9 at 7:30pm on Three.