Watch: Bradly Cooper Reacts to His Oscar Nominations, Director Snub

Bradley Cooper sat down with Oprah this week and the duo discussed the Oscar nominations his film, a remake of "A Star is Born," earned, including Best Picture, Best Actor (Cooper) and Best Actress (co-star Lady Gaga). Though it's up for a number of awards (Best Supporting Actor, Best Adapted Screen Play, Best Cinematography, Best Sound Mixing and Best Original Song), Cooper was most upset for what the film did not get recognized for: Best Director.

His version of "A Star is Born" was Cooper's directorial debut and the actor responded for the first time in public to the snub when speaking to Oprah.

"I was surprised, I got to admit, that you weren't nominated for Best Director," Oprah said. "Were you surprised by that, disappointed by that or did you just it in stride?"

"I was not surprised," Cooper said. "I'm never surprised about not getting anything. But I did feel – you know, it's funny you ask because I have thought about this:

I was with my friend," he continued. "I was in New York City at a coffee shop and I looked down at my phone, and [my publicist] Nicole texted me and they said congratulations on these other things, but they didn't tell me the bad news," Cooper. "I went, 'Oh wow,' and the first thing I felt was embarrassment, actually felt embarrassed that I didn't do my part."

"I'm at least glad you said that," Oprah, who is a member of the Academy said. "If I were you, I'd be feeling some kind of way about it."

Cooper reiterated that he felt embarrassed.

"Oh gosh, I didn't do my job," he said.

"But you know you did," she responded.

"I do," Cooper said.

Watch the exchange below.