The statement reveals that Prince Harry and Winfrey have been working as co-creators and executive producers on the series for several months, and that it will launch in 2020.
"The dynamic multi-part documentary series will focus on both mental illness and mental wellness, inspiring viewers to have an honest conversation about the challenges each of us faces, and how to equip ourselves with the tools to not simply survive, but to thrive," the Instagram caption reads.
"This commitment builds on The Duke of Sussex’s long-standing work on issues and initiatives regarding mental health, where he has candidly shared personal experience and advocated for those who silently suffer, empowering them to get the help and support they deserve."
In light of the announcement of his new partnership with media executive Winfrey, the father-to-be explains the importance of raising awareness about mental health.
“I truly believe that good mental health - mental fitness - is the key to powerful leadership, productive communities and a purpose-driven self," the duke says.
"It is a huge responsibility to get this right as we bring you the facts, the science and the awareness of a subject that is so relevant during these times."
Prince Harry adds that he and Winfrey hope the series will be "positive, enlightening and inclusive", and provide viewers with an opportunity to "understand ourselves and those around us better".
"I am incredibly proud to be working alongside Oprah on this vital series," the royal states.
Winfrey also expressed her excitement over their partnership in the comment section of the Instagram post.
"Delighted to be partnering with you," she wrote.
"Hope we shed a lot of light. And change some lives!"
Several Instagram users praised the pair for their involvement on the upcoming mental health documentary series.
"This is beyond amazing and will break down so many personal and social walls that surround mental health awareness," one person wrote.
"There is such a stigma that goes with mental illness and I think it's fantastic how you are working to break that pretence that it's an embarrassing illness," another added.
For all latest news on Prince Harry, click here.
If you're experiencing a mental health problem or supporting an individual who is, you can call SANEline on 0300 304 7000 (4.30pm–10.30pm every day).
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