Penn, who was previously married to Madonna for four years until 1989 and actress Wright for 13 years until July 2010, believes the relationships were fraudulent, reported Daily Mail.
"There is no shame in saying that we all want to be loved by someone. As I look back over my life in romance, I don't feel I've ever had that. I have been the only one that was unaware of the fraud in a few of these circumstances blindly," he said.
The 52-year-old admitted his divorce from Wright - with whom he shares two children Dylan, 21, and Hopper, 19, - was a real eye opener after years of struggling to make sense of their on-off relationship.
"When you get divorced, all the truths that come out, you sit there and you go, 'What was I doing? What was I doing believing that this person was invested in this way?' Which is a fantastically strong humiliation in the best sense.
It can make somebody very bitter and very hard and closed off, but I find it does the opposite to me," he added. Penn, who co-founded the J/P Haitian Relief Organisation, believes being able to help the people of Haiti following the 2010 earthquake helped him recover from his heartbreak.
"I don't have anything. My daughter's doing her thing, my son's with his mother. So I turned on the TV and there was this earthquake in Haiti. You had a country that had never experienced anything that related to comfort, and out of that you had great trauma - but also this great strength that, I think, we all benefited from."