The royal, who lost his mother in a car crash in 1997 when he was just 12 years old, was speaking at an event he was hosting for the mental health charity Heads Together.
A number of sports stars were in attendance, including footballer Rio Ferdinand, athletes Dame Kelly Holmes and Iwan Thomas, and cyclist Victoria Pendleton.
Speaking with Rio, who lost his wife Rebecca Ellison to cancer last year, Harry revealed how he regrets not speaking about his grief sooner, saying: 'You know, I really regret not ever talking about it.'
He admitted that it was only three years ago that he began to open up about how he felt about losing his mother - saying he didn't speak about Diana's death 'for the first 28 years of my life.'
Speaking to BBC Breakfast at the event, which was held to show how mental health issues can affect anyone, Harry said: 'It is OK to suffer, but as long as you talk about it. It is not a weakness. Weakness is having a problem and not recognising it and not solving that problem.
Prince William and Prince Harry at their mother's funeral in 1997
'A lot of people think if you've got a job, if you've got financial security, if you've got a family, you've got a house, all that sort of stuff, everyone seems to think that is all you need and you are absolutely fine to deal with stuff.'
After speaking with the prince, father-of-three Rio said: 'He's gone through different stages in his life that my kids are going to be going towards.
'So to get some of his experiences is very rewarding for me and very educational in many ways.'