The 56-year-old former footballer and sports presenter took part in the nineteenth series of the ITV jungle reality show last year and says he feels bosses let him down through editing of the show.
Wright told Red Magazine: "To be totally honest, if I could take that time back I would.
"They let me down by not showing the whole picture of who I am. We had so many brilliant in-depth conversations that were never shown.
"People sometimes see this persona of me where I don't seem like I'm vulnerable but I've always been a person in touch with my emotions. I'm never far away from feeling like I could cry. I have very deep feelings that I've had to learn to deal with, but I still have my moments.
"I'm still working in a field where people are looking for mistakes to end you. I'm lucky I have a good circle of people around to look out for me and I've got my missus [Nancy Hallam]."
The Match of the Day presenter spent three weeks in the Australian jungle for the show last December and became the fifth contestant to be eliminated.
The ex-Arsenal forward was caught up in bullying accusations that he and rugby player James Haskell had ‘ganged up’ on comedian Andrew Maxwell.
Maxwell said of Wright on exiting the jungle: “I love the man. We are really similar. Everybody’s a family man or family woman but I think both of us are on the same level, and got on the same rhythm of being down and missing our families at the exact same time.
“There was never even a moment of personal animosity. It’s learning to live with other people.”
Wright also confessed he experienced anxiety when he first started TV presenting.
He said: "People sometimes confuse me for someone who wants to be on television but all I ever really wanted to do was talk about football.
"I love doing Match of the Day now, but TV didn't come naturally to me.
"When I retired from football, presenting stuff like Friday Night's All Wright was very much out of my comfort zone. I didn't like doing stuff in front of a live audience and I became very self-conscious, it was anxiety-inducing."
The sports star retired from football in 2000 having already landed his own ITV chat show on Friday Night's All Wright in 1998.