When Alex Rodriguez was at the height of his career, it seemed like he had it all: a $252 million contract, endless home runs, and celebrity girlfriends like Cameron Diaz. Now, in the HBO docuseries Alex vs ARod, he’s revealing the inner turmoil he faced the entire time — much of it stemming from the trauma of his father walking away when he was a kid.

“I’ve never really said much about my father,” Rodriguez tells PEOPLE, of getting candid in the series about his personal life. “But baseball was our first love. I think my love of the game started when I was basically in Pampers on his lap, watching the Yankee and Mets games in New York.”

But when he was 10 years old, his dad Victor left the family behind. Rodriguez says he’s gone to plenty of therapy over the past decade, but the pain is still there.

“It feels like I’m a little bit more healed now and I have better understanding of him — and myself — after my work with [former therapist] Dr. David. I’m not asking for pity and I’m certainly not a victim, but I do know that a lot of people have gone through similar situations with their parents, and I don’t know… I don’t know if that’s something that you ever completely heal from.”

Rodriguez says when he first became a dad, he vowed to be different.

“Fatherhood is not one of the most important things, it is the most important thing,” he says of being a devoted dad to daughters Natasha, 22, and Ella, 17, whom he shares with ex-wife Cynthia Scurtis. “There was a promise that I made to myself after my father left at the age of 10. The prayer was basically that if I ever had an opportunity to be a father, I would take full advantage and be fully committed.”

He says he and Cynthia, who divorced in 2008 after six years of marriage, took the vow seriously.

“Cynthia, my ex-wife, is one of my best friends in the world. We’ve always been really, really strong, and the girls would spend every summer here in New York with me, and Cynthia would actually move up with her husband. And it was wonderful. One year we lived in the West Village across the street and the girls went back and forth…now we have the family group chat, we vacation together. It’s a modern family.”

Rodriguez says opening up about his past in the docuseries has been healing.

“I had an opportunity to tell my story firsthand, and I thought it was important because there is a lot of highs, a lot of lows. I own my mistakes. And to be able to share my mistakes with the next generation of athletes and young people…if they can avoid some of the mistakes I made, then I think it’s a job well done.”

As for his current mindset, he says he’s in a great place.

“I mean, everything’s really changed in my life for the better,” he says. “There’s a certain amount of gratitude that I have today that I probably didn’t have in the past. Do I have regrets? All I know I’ve never felt happier, and I don’t think that would be the case today without the mistakes.”

Alex vs ARod is now streaming on HBO Max.