This came after they decided to step down from their royal duties, and they announced that she was pregnant with their second child.
The two-hour long special is expected to address some big topics in the former senior royals’ lives, including ‘public pressure’ and Princess Diana.
The “intimate conversation” is expected also to address their new life in America, their stepping down from royal duties in 2020, and their relationship with the media.
A teaser trailer has been released by CBS in which Oprah says, “there is no subject that is off limits”.
In one of the clips, Harry said: “I’m just really relieved and happy to be sitting her talking to you with my wife by my side.
"Because I can’t imagine what it must have been like for her (Diana, his mother), going through this process by herself all those years ago.
“It’s been unbelievably tough for the two of us, but at least we had each other.”
When is the interview?
CBS will air the 120 minute interview from America with Harry and Meghan at 8pm Eastern Time in the US on Sunday, March 7.
This will be 1am on March, 8 in the UK.
Meghan will spend the first period of the interview answering questions from her friend Oprah alone, before being joined by her husband, the Duke of Sussex.
A CBS statement said: “Later, the two are joined by Prince Harry as they speak about their move to the United States and their future hopes and dreams for their expanding family.”
Can we watch it in the UK?
i News has reported that ITV are prepared to £1 million on securing the UK rights for the interview.
There is also the possibility that the interview could be uploaded directly to streaming service Netflix, and could be available in the UK from March 8.