The retired lighting director, 76, who lives in Rosarito, Mexico, is working with a cinematographer and aims to have it wrapped up later this year. Mr Markle took part in a Channel 5 documentary last year but hopes his film will provide a more “complete” picture.
He told The Sun: “It begins with my life, my family, my love of theatre and television and how I got there.
“Then my life with Meghan, growing up, her school days until she went off to college, and when her career began.
“We had a good life together, up through her first marriage and her move to Canada.
“Then a new story begins! It’s kind of like ‘What happened to my baby girl’.”
It will include previously unseen home footage of Meghan.
Mr Markle said: “My documentary will have some new videos and my favourite photo of my ‘baby girl’ and we try to figure out what went wrong. I think we will do a good job.”
The news of Mr Markle’s documentary comes as a fresh blow to Meghan as her half-sister Samantha Markle is releasing a tell-all book.
A letter the Duchess of Sussex wrote her estranged father is at the centre of a High Court privacy battle.
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7.55am update: William’s sweet message to Queen and Philip for taking Covid vaccine
Prince William has said he is “very proud” of the Queen and Prince Philip for having their Covid-19 vaccinations.
The Duke of Cambridge made his comments about the UK’s jab rollout in a video call with NHS staff.
William said: “My grandparents have had the vaccine and I am very proud of them for doing that. It is really important that everyone gets the vaccine when they are told to.
“I want to say huge congratulations to everyone involved in the vaccination programme because it looks tremendous and I know what a massive difference it is going to make to everyone.”
7.30am update: Royal Family never ‘properly appreciated gift’ Meghan gave to Firm
Meghan Markle’s “gift” to the Royal Family was “not properly appreciated” by the Firm, according to a royal author.
Sean Smith, author of the book ‘Meghan Misunderstood’, said the Duchess of Sussex brought a “great deal of charisma” to the Firm.
He claimed Meghan is “not a dull person” whose “gift” was not appreciated by the Royal Family.
Speaking to the Daily Star, Mr Smith said the former actress’s “different life experience” brought something that is “now missing” from the Firm.