The actor addressed students at the Ivy League institute on Thursday (April 12), sharing with them his personal experiences of success and failure.
Khan proclaimed: "Whether I like it or not, my life has also been in constant play with what the world calls 'success'.
"Success is a wonderful thing, but it tends not to be the sort of experience that we learn from. Talking [success] is a waste of time… whatever happened to me happened because I have always been terrified of failure."
The star took a break from IPL commitments to his Kolkata Knight Riders cricket team to speak at the US university.
Khan went on to add: "If you aren't scared enough of failing, you are unlikely to succeed. It's not the absence of failure that makes you a success, it is your response to failure.
"Failure also gives me an incentive to greater exertion… harder work… which invariably leads to later success in most cases. Failure also gets you to find who your real friends are."
The star's upcoming films include Yash Chopra's untitled project, Chennai Express and Happy New Year.