Ronaldo discussed the tragedy in the latest clip released from his interview with Piers Morgan.
In the latest excerpt of his interview with Piers Morgan on TalkTV, the 37-year-old spoke about more personal moments having heavily criticised Manchester United in previous clips.
Ronaldo's girlfriend Georgina Rodriguez gave birth to twins earlier this year but while his daughter Bella survived, Angel tragically died.
And the Portugese said he cannot understand why it happened to his family.
Ronaldo said: "Probably the worst moments that I passed through my life, since my father died, when you have a kid that you expect that everything will be normal, and you have that problem, it's... it's hard, you know, as a human being.
"Georgina, we had quite difficult moments because we don't understand why it happened to us. It was difficult to be honest, was very, very difficult to understand what's going on, in that period of our life.
"As you know, football carries on, so fast, many competitions, football doesn't stop. We had many, many competitions. And that moment was probably the most difficult moment that I have had in my life. Me and my family, especially Gio, that was tough."
Ronaldo admitted he had conflicted emotions with only one of the twins surviving.
Ronaldo added: "It's crazy. I tried to explain sometimes to my family and even my close friends. I say, I never felt to be happy and sad in the same moment. I never felt it. It is hard to explain.
"So difficult. You don't know if you cry or you don't know if you smile. Because it's something that... you don't know how to react. You don't know what to do, to be honest."
The former Real Madrid forward revealed that his other children asked why they only came home from hospital with one baby.
"The other ones in the beginning, around the table, the kids start to say, 'Mom, where is the other baby', and after one week I said, 'Let's be up front and let's be honest with the kids, let's say that, Angel - which is his name - he's gone to heaven'.
"The kids understand, we had shouts around the table and they say, 'Daddy I did this for Angel', and they point to the sky. Which I like the most because he's part of their lives. I am not going to lie to my kids, I say the truth, which was a difficult process."
Ronaldo has previously been heavily critical of United in a series of clips released ahead of the full interview being shown today and tomorrow.
In an explosive outburst, Ronaldo claimed United were trying to force him out and criticised boss Erik ten Hag while also saying the Glazer family do not care about the club.
He was also critical of Wayne Rooney and Gary Neville for speaking out against him, suggesting Rooney was jealous of him because his career was still ongoing.
Rooney is reported to be "bemused" by Ronaldo's comments.