Watch: First sneak peek of Harry and Meghan's 'bombshell' interview with Oprah

"You've said some pretty shocking things here," Oprah tells Meghan Markle in a sneak peek of the tell-all interview, released by CBS.

Meghan and Harry sat down with legendary talk show host Oprah Winfrey, a close friend of the couple, for an interview where "no subject was off limits".

In the teaser segment released by CBS earlier today, Prince Harry says his biggest fear was "History repeating itself", a reference to what happened to his mum, the late Princess Diana.

Harry and Meghan sat down for a tell-all interview with Oprah Winfrey. Photo / CBS

"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."

"They are going to touch on a lot of how mental health came into play and how it affected them," a source told E! News about the interview.

In the preview video, Oprah also asks Meghan: "Were you silent, or were you silenced?"

The interview, which will be the couple's biggest since they stepped down from the royal family in 2019, will air on CBS in the US on Monday, March 8 (NZ time).

The BBC will not air Prince Harry and Meghan's Markle tell-all interview with Oprah Winfrey, it's been revealed.

The broadcaster feels that airing the interview would damage its relationship with Buckingham Palace.

The 90-minute interview was recorded two weeks ago and sources have suggested the couple spoke "very candidly" about their tumultuous exit from royal life.

Harry and Meghan have recently announced they are expecting their second child.

The Prince has also recently taken part in a segment with James Corden, where he made some personal revelations about the impact of life as a royal on his mental health.

• CBS presents Oprah with Meghan and Harry will broadcast Tuesday, March 9 at 7:30pm on Three.