"There's no one there to help you, and I definitely found it very, at times, overwhelming".
In the documentary, which will air May 28 on BBC One, the 37-year-old met up with former Fulham and Watford forward Marvin Sordell, who told the prince about struggles he went through after becoming a dad.
Prince William said that emotions can "come out of the blue" which you do not expect or think you have already dealt with.
23 years ago Prince William and his young brother Harry had to say goodbye to the beloved princess of the United Kingdom, Lady Diana of Wales, an event that would mark the mourning of the United Kingdom and much of the rest of the world. The Duke of Cambridge said that he understands the feelings of men.
"Me and Catherine particularly, we support each other and we go through those moments together and we kind of evolve and learn together. As your mum would".
Football, Prince William and our Mental Health is set to air on BBC One in the United Kingdom on May 28.
Sordell has previously spoke, about suffering from depression and the impact it has had on his life and career, including a suicide attempt in 2013 and further mental health issues in 2017 when he became a dad.
Archbishop Welby, who is the son of two alcoholics, and who suffered the loss of his seven-month-old daughter in a auto crash, has acknowledged his own struggles with mental health in the past. But it's football, though. "We sort of try and check in daily with family members and speak to them about news and things like that".
In the programme, the royal meets players, managers and fans in an effort to promote the importance of mental health in the sport.