But he admitted: "I was in the space of, 'I don't want this job, I don't want to be here, I don't want to be doing this.'
"Look what it did to my mum. How am I ever going to settle down, have a wife and a family, when I know it's going to happen again.
"I've seen behind the curtain, I've seen the business model, I know how this operation runs and how it works. I don't want to be part of this."
He also shared how he felt about being born into the firm and the lack of choice that came with that.
"I think the biggest issue for me was that being born into it you inherit the risk that comes with it – you inherit every element of it without choice.
"And because of the way that the UK media are, they feel an ownership over you, literally – like a full-on ownership – and then they give the impression to some, well most, of their readers that that is the case.
"But I think it's a really dangerous place to be if you don't have a choice. But then of course people, quite rightly, will turn around and go, 'So what if you didn't have a choice? It was privilege.' "
Although Harry said he feels "more free" now he lives in the US, he recalled the "feeding frenzy" of photographers he and his wife Meghan, the Duchess of Sussex, were subjected to when they first relocated Stateside last year, with drones and helicopters constantly flying over their temporary home in the hope of catching a glimpse of them.
Speaking to Shepard he said: "The response was, 'Well, what do you expect if you live in LA?'
"It's like okay well first of all, we didn't mean to live in LA, this is like a staging area before we try and find a house, and secondly, how sad that if you live in LA and if you're a well-known figure you just have to accept it?
"'The first lot of security we had, I said, 'What's the safest place?' and they said, 'Inside.' And I said, 'Sorry, so just because I'm a well-known person [I] can't go outside anymore?' "
The prince - who has a 2-year-old son Archie with pregnant wife Meghan - insisted being bothered by photographers is a breach of his human rights and insisted him taking a walk with his family shouldn't be deemed newsworthy.
He shared: "Just because I'm a well-known person, I can't go outside.
"It's really really sad and their argument is from the paparazzi and everyone else, if you're in a public space it's absolutely fine for us to do.
"So what is our human right, as an individual and a family if you're saying from the moment we step out of our house, that it's open season and free game - what, because of public interest?
"There's no public interest in you taking your kids for a walk down the beach. Nothing, it's not news. This is my issue with it, news should stay is news.
"What is happening in today's world is that news has been hijacked and used to commercially benefit a small group of people, so this sort of rabid, feeding frenzy, and going back to the kids point, it's absolutely true, these kids don't get a choice, they don't get a say in it and if it becomes any worse, then what you're basically accepting is, anyone with a talent... let's punish people who have got a talent and have literally worked their asses off to get to a point where yes they're making money, their fans are contributing that but they're bringing entertainment value to society."
