Sometimes you just have to listen to Oprah.

Former NFL running back Ricky Williams tells CNBC Make It that the best advice he ever received actually came from Oprah Winfrey during his appearance "The Oprah Winfrey Show" in 2002.

"I did Oprah's show a bunch of years ago and she said, basically, to follow my heart," he says.

During the former Heisman Trophy winner's 11 season career, he received quite a bit of criticism, both for his unapologetic marijuana use (which resulted in multiple suspensions for violating the NFL's substance abuse policy) and for his demeanor, which was described as "aloof" and even "weird." He was sometimes reluctant to speak to the media and did things like refusing to remove his helmet for locker room interviews.

Williams has since revealed that he suffered from depression and social anxiety disorder, but on Winfrey's show in 2002, he explained his unusual behavior by telling Winfrey he was "shy."

That's when Williams says Winfrey told him, "[D]on't pay too much attention to what other people think or say about what I'm doing," he recalls to CNBC Make It.