Leonardo DiCaprio spoke to Esquire magazine for an interview about his career and love life, in preparation for the release of the surefire-hit "The Great Gatsby."

DiCaprio, one of the most famous actors in the world, has surprisingly never taken his career for granted, although it has sometimes prevented him from settling down.

The 38-year-old admits that he had to work hard to get his big break, so he never lets an opportunity to be part of a film or portray a certain character pass him by.

Leonardo DiCaprio told Esquire, "I always thought of myself as the underdog, because I didn't have nice enough clothes or maybe my hair didn't look good. And so you have to understand - getting your foot in the door is like winning the lottery. It's literally like winning the lottery if you get to have a career."

"And I've always felt, 'Okay, now I've gotten this shot, and I'm lucky to have gotten this shot, and if I don't do this to the best of my ability - if I don't work my a** off and make a life of it - I've squandered this incredibly golden opportunity. And that's always been what has propelled me.'"

DiCaprio has played some of the most memorable movie roles in recent memory, including leads in "The Aviator," "The Departed," "Blood Diamond," "Catch Me If You Can," and the upcoming "The Great Gatsby." Oh, and of course, "Titanic."

DiCaprio said of his breakout role alongside Kate Winslet, "I really didn't understand what fame was and I didn't understand what being in a giant hit was and I didn't understand what a giant hit 'Titanic' was compared to other giant hits." He added that he had a hard time navigating life in the spotlight during that early time in his career. "There was no rule book. There was nobody to navigate me through the experience of being watched all the time and nobody to tell me how to be normal when everybody is acting and looking at me differently."

"Look, if you're not careful about it, it can develop into a social anxiety. It's like, what's going to happen, what photographer is going to jump out there, what kind of thing am I being set up for? You try to talk yourself out of it, but you're never used to it," DiCaprio continued.

The actor still has a hard time balancing his success with his personal life. He admitted to the interviewer that being in a relationship is nearly impossible when you want to continue being active in the film industry.

Regardless of the actor's difficulties in the relationship department, he has dated what are considered some of the most beautiful women in the entertainment industry, including models Gisele Bundchen, Bar Refaeli and Erin Heatherton, and actress Blake lively.

But, it's true that none of those relationships have lasted. DiCaprio confessed, "Six months of being on location or being off in Morocco or someplace like that is not the best thing for a relationship."

Regardless of his relationship troubles, DiCaprio has a positive attitude about life and his career. When the interviewer asked what makes DiCaprio happy, he said, "I think I'm doing it!"

"The Great Gatsby," in which Leonardo DiCaprio plays the title role, is set do debut at the Cannes Film Festival next month, on May 19. In addition to preparing for the Gatsby promotional tour, DiCaprio has begun filming "The Wolf Of Wall Street," a film co-starring Matthew McConaughey that will be released this fall.

The May issue of Esquire featuring DiCaprio on the cover hits stands on April 23.