Malvo also said there are still unidentified victims from the pair's shooting spree and that he contacted the families of some of those victims.
"Without anyone contacting me two and a half years ago, I reached out and I did that," Malvo said in an interview with NBC's Matt Lauer that was aired on the "Today" show. "In five different instances in different states. But there was a point in time where psychologically, I couldn't handle it."
Lauer told viewers the telephone interview was taped Wednesday and lasted about 40 minutes.
Malvo's accomplice, Muhammad, was executed by lethal injection in 2009. Malvo is serving a life sentence at a prison in Virginia. The pair were linked to 27 shootings across the country, including 10 fatal attacks in the Washington area.
"For the entire period when I was almost 15 until I got arrested, I was sexually abused by John Muhammad," Malvo said in the interview.
Malvo also said he was sexually abused by a babysitter at age 5 and later by relatives when he was around 8 or 9.
Malvo said he knew the killings were wrong but couldn't do anything to stop them because he "did not have the willpower to say no." He said he has forgiven himself for the killings.
Lauer said Malvo told a "Today" show producer this is the last time he plans to give an interview about his crimes. He also spoke to The Washington Post for an article that ran in September.
Asked what he wanted to say to the family members of the pair's victims he said, "Please do not allow my actions and the actions of Muhammad to hold you hostage."