The four-page letter, written by the then-Prince of Wales in 1919, aged 25, fetched almost 12 times its pre-sale estimate of £400 to £600.
It was bought by a UK-based telephone bidder, who asked to remain private, at Cheffins auctioneers in Cambridge on Thursday.
Edward wrote the letter to his mistress Freda Dudley Ward, who was at the time married to Liberal MP William Dudley Ward, while aboard the ship HMS Renown as it took him on a royal tour of Canada.
Their affair continued until 1934, only ending when Edward became involved with American socialite Mrs Simpson, who he met in 1930.
Edward reigned as king from January 1936 until December of the same year, when he abdicated to marry divorcee Mrs Simpson.
The letters between the prince and his married lover are of importance as they shed light on the very personal feelings and passions of the future King Edward VIII
Charles Ashton, Cheffins auctioneers
Charles Ashton a director at Cheffins, said Edward’s 1919 letter to Mrs Dudley Ward gives a window into his “disenchantment with his life as a royal”.
In the letter, Edward refers to speeches he had made, writing: “What I think of all this official wonk and these cornie pompous stunts & I’ve made no less than 7 speeches today.”
He described Canadian prime minister Robert Borden, whom he had dined with, as “such a stick & deadly dull except re politics & I can’t tackle him on that subject”.
Mr Ashton said: “This letter saw some significant pre-sale interest, with over 20 separate parties leaving absentee bids, as well as a number of telephone bidders and those online.
“The letters between the prince and his married lover are of importance as they shed light on the very personal feelings and passions of the future King Edward VIII, which strong sentiments then re-emerged in no less a way in his love for Wallis Simpson.
“Edward VIII was known to be a prolific letter writer, with at least 300 of his letters being offered to the market in a significant sale in 2003.
“The majority of these are now in private hands and very few have surfaced to the market since.
“The market is truly alive and well for autographs and letters, with a significant number of private collectors who were out in force at today’s library sale.”
The £7,117 sale price includes the buyer’s premium of 24.5% and VAT.