Arnold Schwarzenegger has had no shortage of hits throughout his career, but he’s still embarrassed by the lackluster reception of one of his would-be blockbuster’s, the 1993 action comedy “Last Action Hero.”

In the new three-part Netflix docuseries “Arnold,” the bodybuilder-turned-star-turned-governor details his varied career, providing insights into his momentous highs and lows as an action icon, including the time that John McTiernan’s “Last Action Hero” flopped at the box office.

“I cannot tell you how upset I was,” Schwarzenegger says in the doc. “It hurts you. It hurts your feelings. It’s embarrassing… I didn’t want to see anyone for a week. But you keep plodding along. And my mother-in-law also said this all the time: ‘Let’s just move forward.’ It’s a great message.”

The very meta comedy starred Schwarzenegger as the fictional action hero character Jack Slater, who bonds with a young movie...