In another touching scene, Meghan is shown admiring her 15ft wedding veil, which famously featured embroidered floral decorations representing all 53 Commonwealth nations.
When the interviewer answers that she hasn't seen anything, Meghan goes on to reveal that her "something blue" is "fabric from the dress that I wore on our first date", referring to the very first time she went out with Prince Harry.
Ms Markle told the programme that her "something blue" was stitched somewhere inside the gown. The ITV film Queen of the World captured Meghan gazing at her gown and veil for the first time since her stunning wedding day.
In a new clip of the upcoming ITV documentary, 'Queen of the World, ' Meghan Markle happily revealed that she gave Prince Harry a sweet surprise on their wedding day.
"I'm really over the moon to find out that I would make this choice for our day together", Meghan said in another clip released by HBO.
"And I think the other members of the family had a similar reaction". "So, yeah, it was good news all around, I think, so I hope people liked it as much as I liked helping to create it".
The couple were married at St George's Chapel in Windsor Castle on 19 May.
"To have such a monumental moment in England, nonetheless of all the places, I felt like we were literally watching history", she said in the interview.
The royal newlyweds will visit Australia, Fiji, the Kingdom of Tonga, and New Zealand in a tour to coincide with the Invictus Games which is being held in Sydney from October 20 to 27.
Looking ahead to the trip the duchess says: "You know, it's such an exciting time for us, especially with Harry's role as Youth Ambassador for the Commonwealth and the travel that we intend to do, to do work specifically in all those different territories".
The "Queen of the World" will air in the United Kingdom on Tuesday.
In May, Meghan donned a attractive silk wedding dress crafted by British designer Clare Waight Keller.