The 49-year-old inventor, who killed Wall aboard his homemade submarine in Denmark in August 2017, answered “yes” when asked by a journalist whether he killed the 30-year-old woman. At the time of the interview, the unidentified journalist was secretly recording their conversation.
"There is only one who is guilty, and that is me," Madsen said in the documentary, AFP reported.
“It’s my fault she died. And it’s my fault because I committed the crime. It’s all my fault,” he added.
During his trial, Madsen claimed that Wall’s death was an accident, although he did admit to throwing her dismembered body into the Baltic Sea.
"Apart from August 10, 2017, I've never done anything to anyone," Madsen said in the documentary series.
The series is based on more than 20 hours of such secretly recorded phone calls between the journalist and Madsen, who was in prison serving a life sentence for Wall’s murder.
Madsen later permitted the journalist to use the recordings for the documentary.
Wall, an award-winning reporter, came in contact with Madsen after becoming interested in writing a story about his homemade submarine while she was staying in Copenhagen, Denmark, with her boyfriend. Madsen was convicted in April 2018 on charges of murder and sexual assault.