The former president said he felt "sick about" the fact that no weapons of mass destruction were found in Iraq.
Bush also said that he regrets not landing Air Force One in New Orleans to view the devastation of Hurricane Katrina in 2005.
"I shouldn't have flown over and looked. I made a mistake. I should have landed," Bush said. "I didn't realize a picture of me looking out would look like I didn't give a darn."
Bush said that at the time he was worried that landing there would take resources away from the rescue efforts.
Bush was on the show to promote his new book, "Decision Points." He even poked fun of himself, saying, "A lot of people don't think I can read, much less write."
The Associated Press Contributed to this report.