Sarah Ferguson, 61, first sat down for an interview with Winfrey in 1996, following her split from husband Prince Andrew.
Acknowledging that living in a palace may seem like a dream come true, the Duchess of York said that life as a royal is "not a fairytale."
"You didn't marry the fairytale, you married a man," she said at the time. "You fell in love and married a man, and then you have to come to terms with the fairytale. Now it's not a fairy tale, it's real life."
One aspect of her new life that Fergie found difficult to get used to were all the Buckingham Palace rules.
"The palace from when you look at it from the outside, the windows have to be open in only a certain amount so they are all in line, and I'd come in and throw open all the windows," she said. "And no, that was wrong."
OWN/YouTube Sarah Ferguson and Oprah Winfrey
In her 1996 interview, Fergie also spoke about the "cruel" treatment she received from the British tabloid press, a topic Harry and Meghan will also touch on in their highly-anticipated interview, airing Sunday.
"I must explain that the British press at the moment is completely and utterly cruel and abusive and so invasive," the mother of two said, adding another point, "It is very cruel and very painful when you are going to try and find the feelings within to be on such a public stage."
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Asked by Winfrey why she didn't just continue to "play the game," Fergie replied, "You could do that, and if that's what suits you, then that's what suits you."
"But Diana and I are like rivers, we want to learn more, we want to go around the corner, we are hungry for more," she said, referencing the late Princess Diana, who at the time was separated from Prince Charles.
Joe Pugliese/Harpo Productions Prince Harry, Meghan Markle and Oprah Winfrey
Fergie would go on to sit-down with Winfrey again after being caught on camera accepting money in exchange for a promise of business access to her ex-husband. She spoke to Winfrey again in 2011, after not being invited to Prince William and Kate Middleton's wedding, which she described as being "so difficult."
"I wanted to be there with my girls and to be getting them dressed and to go as a family," she said at the time. "And also it was so hard because the last bride up that aisle was me."
Fergie also did a series called Finding Sarah with Winfrey.
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Meghan and Harry's CBS interview is expected to cover Meghan's journey from stepping into life as a royal to marriage, motherhood, philanthropic work and facing intense public pressure. Harry will then join his wife to talk about their historic move to the U.S.
For more on Prince Harry and Meghan Markle's interview with Oprah, listen below to the episode of PEOPLE Every Day
Oprah with Meghan and Harry airs Sunday at 8 p.m. on CBS.