Prince Harry suggested he should have quit the Royal Family four years ago after meeting his wife Meghan Markle.
The couple stood down as working royals before moving their family to the USA to start a new life.
The royal admits he is "incredibly sad" that he has "no regrets" about making the dramatic move.
Speaking to his new documentary series on mental health, The Me You Can't See, Harry said: "Making this move was really scary. Like at every possible opportunity, the forces that were working against us tried to make it impossible.
"Did I expect to find ourselves in this situation so quickly? No. I think we've done a really good job. And I have no regrets.
"It's incredibly sad, but I have no regrets at all because now I'm in a place I feel I should have been four years ago.
"I'm now more comfortable in my own skin. I don't get panic attacks.
"I've learnt more about myself in the last four years than I had in the 32 years before that. I have my wife to thank for that."
Harry met Meghan in July 2016 before their romance was revealed to the world in November of that year.
They married in May 2018 before welcoming baby Archie the following May.
The couple are now expecting a sister for Archie later this year but they made the decision to move the family to the US in a bid to become "financially independent".
They have since set up a number of lucrative media deals, including with Apple TV, where The Me You Can't See aired, Netflix, Spotify and Disney+.
Harry said he is sure his mum Princess Diana is proud of the big step he has made and even claimed that he is "living the life that she wanted to live for herself".
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He said: "I have no doubt my mum would be incredibly proud of me.
"I'm living the life that she wanted to live for herself, living the life that she wanted us to live.
"Not only do I know that she's proud of me but that she helped me get here.
"And I've never felt her presence more than I have done over the last year.
"I wish she could have met Meghan, I wish she was around for Archie."
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