In August 2015, a string of freeway sniper shootings caused a wave of panic that left Arizona residents fearing for their lives every time they got into their cars.

After weeks of searching for the sniper, authorities announced they had linked a gun to four of the I-10 shootings – and they said that gun had belonged to 21-year-old Leslie Merritt Jr., who was arrested. With Merritt in custody, the shootings seemed to be stopping and authorities endeavored to assure the community it was safe to be back on the roads.

WATCH: Why Accused and Now Released Arizona Freeway Sniper Says He Never Thought About Calling A Lawyer

Just one problem – Merritt insisted he was innocent. And after serving 222 days behind bars, the court found that there was insufficient evidence to continue holding Merritt and the charges against him were dismissed shortly thereafter. He was released from prison.

Now, in an exclusive interview with Dr. Phil, Merritt is speaking out for the first time about the ordeal, starting with the day he was arrested while at the store buying diapers for his infant daughter.

WATCH: Why Leslie Merritt Jr. Says It’s Impossible He Was The Arizona Freeway Sniper

“I had went to Wal-Mart because I just got paid. So I went to go buy some diapers and wipes for my [5-month-old] daughter,” Merritt explains, adding he was there at the store with his now-ex-fiancée and the child.

Merritt claims that as soon as he stepped out of the store, he was surrounded. He further claims that four SUVs pulled up and nearly a dozen police dressed in “full military gear” quickly ordered Merritt to the ground, with their rifles allegedly pointed at his family.

WATCH: Once Accused Arizona Freeway Sniper Describes His 222 Days Behind Bars: It Was ‘Mental Torture’

“I looked over and they had their weapons pointed at my 5-month-old daughter and [my fiancée] too,” he says.

Watch the video above as Merritt talks about the events of that day, and whether he says he had any idea why he was being taken into custody.

WATCH: How Has Life Changed For Leslie Merritt Jr. After Being Arrested and Released As The Suspected Arizona Freeway Sniper?

This episode of Dr. Phil airs Thursday.