Joshua's first defeat as a professional boxer came when he was stopped in the seventh round against underdog Ruiz Jr. in New York on June 1, Sky Sports News reported.
However, the former heavyweight champion has a chance to get revenge on the Mexican when the pair fight for a second time on December 7 in Saudi Arabia.
Joshua insisted he will "reign again" as world heavyweight champion, but admitted it was "kind of a relief" to suffer a first defeat.
When asked how long it took him to get over the loss, Joshua told Sky Sports News, "About three weeks. I used to sleep and I'd be thinking about it – I lost.
"But it's cool. The blessing is that I've got solid people around me that have been with me since day one. They know me as AJ. That is a good thing.
"Even though I lost, it was only in my quiet times like going to bed or something like that, that I really thought about it.
"In a weird way it was kind of like a relief. I'm quite a strong-minded person. I find opportunity even in the worst type of cases.
"I don't hide from any situation. You could fill out this arena and I could talk about all my losses in life, and I'm proud of them. I'm not going to shy away from them anyway."
Heavyweight rival Deontay Wilder admitted he would prefer Ruiz Jr. to win the rematch as he feels Joshua does not have the desire to unify the division in 2020.
Should Joshua lose again, his hopes of a title unification fight are all but over, although when asked if he will be nervous come fight night, the 30-year-old replied, "No way. I'm never nervous.
"Look at the last fight I was about half asleep in the ring! I'm never nervous. I know I'm good.
"When you know you're good at something you don't make it the biggest thing in your life, the biggest thing in my life is actually training.
"Fighting isn't hard. Fighting and winning isn't hard. It's the training every day, having the right people around you every day. Honestly that is the biggest fight in my life. The winning is easy, that takes care of itself."