Cox, 76, told the Radio Times: “I’m a bit angry about that. Because that whole thing has been taken out of context. I actually have enormous sympathy for them.
“They’re the product of an institution which is moribund and shouldn’t exist any more. But that’s a difficult situation where [Meghan] comes from, and it’s understandable that she sees something [appealing] – and it does look like a fairytale.
"But it was a fairytale that went horribly wrong."
He added: “I think they’re victims."
The Scottish actor said he supports Scottish independence and the dissolution of the monarchy as he believes the royal institution “fundamentally, in this day and age, doesn’t make any sense”.
The Braveheart star also confessed he only accepted his CBE in 2002 because his late sister Betty was a royalist.
Betty, who died recently at the age of 92, was the eldest of Cox's three sisters and helped raise him.
He said: “If it wasn’t for my sister, I wouldn’t be here. She was my constant in my life.
“And she was a great royalist. So the reason I accepted the first time around was [because] it honoured her as much as anything else. Because she was a believer.”
Cox interrupted: "Keep it royalist, keep it royalist!"
The Bourne Identity star, who published his memoir Putting the Rabbit in the Hat in 2021, has previously spoken of an intimate encounter he shared with Princess Margaret when he was just 23.
Watch: Brian Cox reveals what he stole form the Succession set