The Argentine felt a lack of appreciation during his time with los Blancos and is content with his decision to move to Naples over the summer
The Argentina international wore the Madrid jersey from 2007 until 2013 and scored over 100 goals in La Liga during his time at the Santiago Bernabeu side.
But his final season saw him and Karim Benzema rotated up front and his desire for regular first team football prompted his decision to join the Partenopei in a €42 million (£35m) deal over the summer.
"I constantly felt like I had to prove myself again after already showing what I was capable of a number of times before. Everything goes much better when you have the complete faith of your team-mates, coach and directors," Higuain told Cope.
"It was not an easy decision to leave Madrid. I enjoyed many years at the highest level at Madrid, but I needed a new challenge and a change of scenery.
"I am feeling very well at Napoli now. It's a major challenge to try and help Napoli back the heights of the past."
The 25-year-old has netted six goals in 12 official appearances for Napoli so far.