The late Thriller singer kept Prince and his siblings Paris and Blanket out of the public eye when they were growing up, but they were able to go trick or treating on 31 October because they could wear costumes to disguise themselves.
Prince, 24, told The Mix: “Halloween is such an awesome holiday for me because when we were growing up, obviously, we wore masks to conceal our identity. But Halloween was one of those few holidays where it’s normal for everybody to wear masks.
“It was kind of that one day out of the year where we got to go out with my dad to some family friend’s houses and do kind of trick or treating a little bit, do kind of a normal celebration of Halloween.”
He went on: “But also, when we were younger, and I don’t know if you remember, but people were always concerned about some people putting poison and razor blades in the candy.
"So, we could go and we would collect the candy, but my dad would always throw that away and he would give us a pillowcase filled with candy.”
Prince said his dad only let them have one day to eat the sweets.
“So, I remember every year getting so sick just trying to eat as much of the candy as I could!” he laughed.
King of Pop Jackson died in 2009 at the age of 50 following an accidental overdose of the anaesthetic propofol.
Watch: The King of Pop's legacy: How Michael Jackson changed the world