"They said 'my heart goes out to you because I can see how hard it is but there's nothing we can do because you're not a paid employee of the institution'."
Meghan struggled to hold back tears as she talked about the moment she told Harry she felt suicidal before the two had to attend a public event together.
"He was already carrying the weight of the world ... It takes so much courage to admit that you need help. I was ashamed.
"I share this because there are so many people who are afraid to voice that they need help and I know personally how hard it is."
The Duchess said her mental health had improved since the move to the US.
Later in the interview, Winfrey asked both Meghan and Harry: "You left [the UK] because you were asking for help and you couldn't get it?"
"Yes," they answered.
• CBS presents Oprah with Meghan and Harry will broadcast on Tuesday, March 9, at 7.30pm on Three.
Where to get help:
• Lifeline: 0800 543 354 (available 24/7)
• Suicide Crisis Helpline: 0508 828 865 (0508 TAUTOKO) (available 24/7)
• Youth services: (06) 3555 906
• Youthline: 0800 376 633
• Kidsline: 0800 543 754 (available 24/7)
• Whatsup: 0800 942 8787 (1pm to 11pm)
• Depression helpline: 0800 111 757 (available 24/7)
• Rainbow Youth: (09) 376 4155
• Helpline: 1737
If it is an emergency and you feel like you or someone else is at risk, call 111.