A source, who is reportedly close friends with the Jon Snow actor, explained the end of the decade-long series "really hit Kit hard" and his wife and fellow Thrones star Rose Leslie "is being extremely supportive".
Harington and Leslie tied the knot in June last year after meeting on the set of the show.
In The Last Watch, a behind-the-scenes documentary released this week, Harington cries during a table read when he learned how the final episode would play out.
In another particularly tear-jerking moment, Harington broke down in tears again after filming his last-ever scene on the show.
"I feel like my heart is breaking," Harington told the cast and crew. "I love this show more than, I think, anything.
"It has never been a job for me. It's been my life, and this will always be the greatest thing I'll ever do.
"You are my family. I love you."
His heartfelt speech triggered an emotional reaction among those on set, with a group of extras crying as they watched on.