The multi-part documentary series, which will air on the Apple TV platform in 2020, was co-created and produced by the Duke of Sussex and Winfrey.
It aims to inspire viewers to have an "honest conversation about the challenges each of us faces," according to a statement issued on the Duke's official Instagram account.
The statement added that the project will attempt to equip people "with the tools to not simply survive, but the thrive."
Harry said he was "incredibly proud" to be working alongside Oprah on the "vital" series.
"I truly believe that good mental health -- mental fitness -- is the key to powerful leadership, productive communities and a purpose-driven self," Harry said.
"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.
"Our hope is that this series will be positive, enlightening and inclusive -- sharing global stories of unparalleled human spirit fighting back from the darkest places, and the opportunity for us to understand ourselves and those around us better."
The TV series builds on Harry's longstanding commitment to tackling mental health and raising awareness of mental illness.
He launched the "Heads Together" mental health campaign in 2017 alongside his brother, Prince William.
The campaign leads a coalition of mental health charities in order to provide support for people affected by mental illness, along with raising awareness and tackling stigma.