The US rapper dropped hints he had been unfaithful on album 4.44 and Beyonce touched on his infidelity on Lemonade but it was never confirmed.
But in a tell-all chat with the New York Times, Jay Z reveals he shut down his emotions and pushed his wife away when he addressed issues from his past.
He said: "You have to survive. So you go into survival mode, and when you go into survival mode, what happens? You shut down all emotions.
"So, even with women, you gonna shut down emotionally, so you can't connect. ... In my case, like, it's deep. And then all the things happen from there: infidelity."
The hip hop legend hasn't named the woman he cheated with, but Beyonce called her "Becky with the good hair" in Lemonade.
He also revealed in the candid interview that he came close to leaving his wife of nine years but the couple, who have three children together, were helped by therapy.
Jay Z said: "You know, most people walk away, and, like, divorce rate is like 50 percent or something ’cause most people can’t see themselves
"The hardest thing is seeing pain on someone’s face that you caused, and then have to deal with yourself."
Jay Z also discussed his sometimes strained relationship with Kanye West, which he branded "complicated".
The US rappers fell out last year when Jay Z dissed Kanye on his album and Kanye retaliated by removing all his music from Jay's streaming service Tidal – following years of bubbling tension.
But the dad of three has now revealed the pair are back on track, telling the magazine: “I [talked to Kanye the other day, just to tell him, like, he's my brother. I love Kanye. I do. It's a complicated relationship with us.”
Jay admitted that their relationship has been strained at times because of a rivalry between them.
He said: “Kanye came into this business on my label. So I've always been like his big brother. And we're both entertainers. It's always been like a little underlying competition with your big brother.
“And we both love and respect each other's art, too. So it's like, we both — everyone wants to be the greatest in the world. You know what I'm saying? And then there's like a lot of other factors that play in it. But it's gonna, we gonna always be good.”
The rapper also confirmed that he and wife Beyonce had been working on a joint album, prior to both releasing their own confessional albums.
When asked if they sat down and talked about writing about their marriage problems, he said: “Again, it didn't — it didn't happen in that way. It happened — we were using our art almost like a therapy session. And we started making music together.
“And then the music she was making at that time was further along. So her album came out as opposed to the joint album that we were working on.
"Um, we still have a lot of that music. And this is what it became. There was never a point where it was like, 'I’m making this album.' I was right there the entire time.”