Amanda Berry, Michele Knight and Gina DeJesus were found in a residential area a few miles from where they disappeared on May 6.
The newly released 4-hour video includes chilling details about how he abducted and abused the three women for more than a decade.
Castro also described several missed opportunities to catch him.
Castro says his picture should have been captured by a school security camera minutes before he abducted DeJesus.
"You could have broke the case right then and there," Castro told police.
In the video, he also says he even used Berry's cell phone to call her mother.
"What did you say to her mom?," police ask Castro during a recorded interview.
"I think I said something... I have her daughter and that she's OK, and that she's my wife now - something like that, you know, probably not the exact words," Castro responded.
He says he hung up before Berry's mother could reply.
On Friday, a funeral home picked up Castro's body from the Franklin County Coroner's office on behalf of his family.
The 53-year-old was a month into his life sentence when he was found hanging in his cell from a bed sheet at the Correctional Reception Center in Orient Tuesday.
In the recording of his interrogation following his May arrest, Castro, handcuffed and dressed in dark clothes, is asked about suicidal thoughts. A search of Castro's home had turned up a 2004 confession note in which he wrote he wanted "to put an end" to his life.
"And what about suicide? You still?" an investigator asked him.
"I just want to crash through that window," Castro answered.
Castro had pleaded guilty to 937 counts of rape, kidnapping and aggravated murder. He had been sentenced Aug. 1 to life in prison plus 1,000 years without the possibility of parole.
The three women disappeared separately between 2002 and 2004 after accepting rides from Castro. They escaped his home May 6, when Berry, now 27, broke part of a door and yelled to neighbors for help. Castro was arrested that night.
Investigators said the women were bound, repeatedly raped and deprived of food and bathroom facilities.
The Associated Press contributed to this report.