Meghan Markle's father fears he will never see his daughter or Prince Harry again.
Thomas Markle appeared in a documentary which aired today in the United Kingdom on Channel 5. The documentary was filmed in October.
The airing of the documentary today follows this month's shock developments in The House of Windsor which saw Prince Harry and his wife Meghan step back from royal duties in a bid to become financially independent and divide their time between the UK and North America.
"The last time they might see me is being lowered into the ground," Thomas Markle said in the documentary.
"I don't think at this point they're thrilled to see me or want to talk to me."
Mr Markle also said he learned of Meghan's pregnancy on the radio, not from his daughter.
Earlier this month Mr Markle described the couple's decision to step back from the royal family as "disappointing" and "embarrassing".
The couple will no longer use the titles "royal highness" or receive public funds for their work under a deal announced by Buckingham Palace.
Mr Markle's strained relationship with his daughter complicated Meghan's entry into the royal family.
He had been due to walk Meghan down the aisle at her wedding in May 2018, but pulled out at the last minute.
"I was scheduled to go to the airport and fly to England because they still wanted me to come to the wedding and be at the wedding. At that time I got a massive heart attack," he said.
Both Harry and Meghan have arrived on Canada's Vancouver Island and are reportedly staying at a mansion there with their eight-month-old son Archie.