The 64-year-old former Beatle said the break up — seized on in Britain as the most high-profile split since Prince Charles and Princess Diana parted ways a decade ago — had left him saddened, but determined to act with dignity.
McCartney and Heather Mills McCartney, a 38-year-old anti-land mine campaigner, announced their separation in May and began divorce proceedings in July. They have a 3-year-old daughter, Beatrice.
"There are certain things in life that are personal, and I think a relationship with a partner is intensely personal, and I prefer to keep it that way," McCartney told British Broadcasting Corp. radio in an interview broadcast Saturday.
"When you are going through difficulties, I think the thing to do for the sake of all the people concerned is to keep a certain dignity and remember that it is a private affair, and that way, you will probably get through it better," he said.
McCartney said keeping details of the divorce private would "put less noses out of joint, and I think it is a more dignified way to go about it."
He was interviewed Friday, following the premiere of his classical composition Ecce Cor Meum (Behold My Heart) at London's Royal Albert Hall, the BBC said. He said the work was inspired by the death of his first wife, Linda, from breast cancer in 1998.
Mills McCartney last month said she would take legal action against a number of British newspapers who published disparaging claims about her husband, alleged to have been contained in divorce court papers drawn up on her behalf.
Her law firm, Mishcon de Reya, said she would sue British tabloid The Sun, and newspapers Daily Mail and Evening Standard.
McCartney's lawyers said he would vigorously defend himself against the allegations that he had physically abused his second wife.
"Life goes on, I do not hold grudges against anyone, I don't blame anyone for the sadnesses that have happened to me. I am sad about them because it would stupid to be otherwise," McCartney said. "I think life goes on, and it is what you make of it, so I am pretty optimistic.