David Letterman's No-Holds-Barred Interview with Oprah

David Letterman opens up to Oprah Winfrey about this extramarital affairs for the first time since the news broke back in 2009. INSIDE EDITION has the details.

David Letterman is speaking out about the sex scandal that threatened to break up his family. Dave opened up in a no-holds-barred interview with Oprah Winfrey.

Letterman said, "Having lived through that sex scandal."

"You want to get through your whole life and not have the words 'sex scandal' attached to your name," said Oprah.

"I did not make it. I have no one to blame but myself," said Letterman.

The scandel errupted in 2009, just six months after marrying his longtime love, Regina Lasko, when Letterman made the stunning admission on his show.

Since then, he hasn't said a public word about the scandal, until now.

"I feel better about myself. My relationship with my wife has never been better. I hurt a lot of people. I have nobody to blame but myself. I'm not looking to blame anybody. I'm looking to find out why I behaved the way I behaved," said Letterman.

The interview was conducted at Letterman's alma mater, Ball State University, in Indiana. Delighted fans crowded around the famous pair.

In the revealing interview, Letterman also talked about his battle with depression.

"You can't stand looking at the sunlight. You can't wait to get back into bed at night. You're shaking and shivering. I went through this for about six months, and oh my gosh," said Letterman.

And he didn't hold back about his late-night feud with Jay Leno. Dave started out by heaping praise on the Tonight Show host, saying, "I'm happy to say that I think he's the funniest guy I've ever known."  But then came this: "Therefore, the fact that he is also, maybe the most insecure person I have ever known. And I could never reconcile that."