Almost natural, but it needs a small fix. “I felt uneasy when I was talking to him. Something was wrong, but I didn’t understand exactly what.” “Talking to him” is more natural than “talking with him” in this context, and “exactly what” sounds better at the end.

Sounds fine to me!

I like it! It is not polished prose but it sounds like someone thinking. It's good conversational language. I totally agree with Abby that "exactly what" is better than "what exactly", but from a conversational point of view I still like "what exactly". You might also consider "off" instead of "wrong".