It is expected to be screened in the USA this week but, for now, here's a rundown of what we learned about Harry and Meghan from the program.
Holding back tears, Meghan thanks Bradby for asking about the impact the pressure has had on her mental and physical health.
"Part of this job is putting on a courageous face but, for me and my wife, there is a lot of stuff that hurts, especially when the majority of it is untrue". "You add this on top of just trying to be a new mum or trying to be a newlywed". "Not many people have asked if I'm OK, but it's a very real thing to be going through behind the scenes", she said.
In the same documentary Meghan Markle, a former American actress, said the a year ago had been hard and friends had warned her not to marry Harry because of the conduct of the British tabloid press. "I had no idea, which probably sounds hard to understand here".
Meghan said: "When I first met my now-husband my friends were really happy because I was so happy, but my British friends said to me, "I'm sure he's great but you shouldn't do it because the British tabloids will destroy your life".
Even after hearing their warnings, Markle didn't understand just how much the tabloids would write about her.
When Meghan admitted she was "not really OK" in a preview clip on Friday, she was me with an overwhelming amount of support on Twitter. We don't have that there - [I said], 'What are you talking about? That doesn't make any sense.
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"I tried, I really tried, but I think that what that does internally is probably really damaging", she shared. I didn't get it. "So it's been, yeah, it's been complicated".
LISTEN: 9Honey's royal podcast The Windsors takes a look back on Prince Harry's royal life. Before she passed away, Diana taught Harry a number lessons. He said, "Part of this role, part of this job, this family, being under the pressure which it's under, inevitably stuff happens".
"When people are saying things that are just untrue and they're being told they're untrue but they're allowed to still say them, I don't know anybody in the world that would feel like that's OK", Markle said.
"I'll always be there for him and as I know, he'll always be there for me", Harry added.
But he added, "I will not be bullied into playing a game that killed my mum".
Britain's Prince William is anxious about his brother after Prince Harry and wife Meghan spoke out about their struggle to live under a global spotlight, the BBC reported on Monday (Oct 21). But his words about his brother confirm that, perhaps unsurprisingly given the way his life has changed, they are not that close anymore.
"Part of this job, and part of any job, like everybody, is putting on a fearless face and turning a cheek to a lot of the stuff", he said. "I know what it seems like it should be, but it's a very different thing".
"I have said for a long time... it's not enough to just survive something, right?" He told Bradby, "We don't see each other as much as we used to as we are so busy".