The 25-year-old scored over 100 league goals during his time in the Spanish capital, but was forced to alternate with Karim Benzema last season.
"I had some great moments at Real Madrid, but also moments of unhappiness," he told La Sexta.
"I suffered because I wasn't always playing. Sometimes Benzema started and then I got the chance to prove my worth again.
"I will always be grateful to the Madrid fans, though. They showed me a lot of affection during my seven years at the club."
Higuain moved to Napoli this summer.