"I think I said something ... that I have her daughter and that she's OK, and that she's my wife now - something like that, you know, probably not the exact words," he told investigators.
Castro also describes what he considered a close call: a girlfriend spotted a television on in a room occupied by victim Michelle Knight. Castro told police that made him think he might be caught.
Castro, 53, was a month into his life sentence when he died. A funeral home picked up his body Friday from the Franklin County Coroner's office on behalf of Castro's family.
In the recording of his interrogation following his May arrest, Castro, handcuffed and dressed in dark clothes, is asked about suicidal thoughts. A search of Castro's home had turned up a 2004 confession note in which he wrote he wanted "to put an end" to his life.
"And what about suicide? You still?" an investigator asked him.
"I just want to crash through that window," Castro answered.
The state has launched two probes related to Castro, Ohio prisons spokeswoman JoEllen Smith said. One looks into the suicide, and the other examines whether Castro received proper medical and mental health care leading up to his death.
A spokeswoman for the city of Cleveland and its police department said Castro's case records are being reviewed to determine what will be made public under Ohio law. Maureen Harper said the city isn't the source of the video that aired Friday.
Through a spokesman, Cuyahoga County Prosecutor Timothy McGinty also denied having released the recording. The FBI's Cleveland division spokeswoman said the office did not release the video.
Authorities speculated Castro's defence team released the tape. Attorney Jaye M. Schlachet on Friday declined to comment on the matter.
Representatives of the victims did not respond to messages seeking comment Friday.
Castro was sentenced August 1 to life in prison plus 1,000 years after pleading guilty to 937 counts, including kidnapping and rape, in a deal to avoid the death penalty.
Castro's captives disappeared separately between 2002 and 2004. They were rescued from Castro's house May 6 when Berry broke through a screen door.
Investigators said the women were bound, repeatedly raped and deprived of food and bathroom facilities.
Where to get help
• Youth services: (06) 3555 906
• Youthline: 0800 376 633
• Kidsline: 0800 543 754 (4pm to 6pm weekdays)
• Whatsup: 0800 942 8787 (noon to midnight)
• The Word
• Depression helpline: 0800 111 757 (24-hour service)
• Rainbow Youth: (09) 376 4155
• CASPER Suicide Prevention
If it is an emergency and you feel like you or someone else is at risk, call 111.
- AP