Madoff said all he has left in prison is his sense of humor, and sometimes he is horrified to find himself smiling.
He is "lucky to still be sane," he added.
During four months he spent in a New York jail, Madoff said, he was on suicide watch. He considered killing himself, but he "didn't have enough courage to do it" at the time.
Earlier, on Christmas Eve 2008, Madoff and his wife apparently botched a suicide bid soon after Madoff's multibillion-dollar fraud was exposed, Ruth Madoff told CBS News' "60 Minutes" in a separate interview. The couple woke up the morning after trying to kill themselves with pills, she said.
"I took what we had, he took more," Ruth Madoff said. "It was very impulsive and I am glad we woke up."
Bernard Madoff told Walters he no longer has suicidal thoughts, although prison officials still ask him about it every day, he said.
A prison psychologist, with whom Madoff spends significant amounts of time, has told him he has been able to cope with his problems over the years by "compartmentalizing" them, and he still does, he added.
"This young woman has kept me alive," he said.
Even so, he finds it hard to sleep and some of his dreams are "horrible."