Watching Oprah Winfrey probe David Letterman on “Oprah’s Next Chapter” Sunday night was like intruding on someone’s therapy session. Except that shrinks aren’t that self-satisfied.

Sitting with the CBS late-night host at his alma mater — Ball State University in Muncie, Ind. — Oprah grilled Dave on his personal life, including that extortion case, reports The Post’s Emily Yahr.

David Letterman Addresses His Public Sex Scandal

You remember: Former “60 Minutes” producer Robert “Joe” Halderman attempted to blackmail Letterman, saying he knew that the host had shagged female staffers over the years on the “Late Show.”

Because something like that has never happened in the entertainment industry.

Except that Letterman outmaneuvered Halderman, revealing the situation on his CBS show. Halderman ultimately pled guilty and was sentenced to six months in jail.

Anyway, Dave told Oprah that it was a very difficult time for his wife (a former show staffer, whom he married in March 2009), but that the incident brought them closer together.

Oprah: “Did you have to sleep on the couch?”

Letterman: “I slept in a wide variety of places.”

Oprah grilled Dave awhile about why he has a low threshold for embarrassment, yet has no problem embarrassing other people.

She has just described virtually every late-night TV host.

“What is that, Dave?” Oprah asked with a sort of grim geniality.

“I don’t know. You, and I, and my psychiatrist should get together and we’ll have a conversation on exactly that point,” Dave snarked.

“Do you see a psychiatrist?” asked Oprah, sensing the next days’s headline.

“Yes, I do,” Dave said.

“Regularly?” Oprah urged.

Dave paused.

“Is once a week regular?”

Oprah laughed. Dave won.

Why David Letterman Really Hates to Be Embarrassed