The Duke of Sussex also revealed he only cried “once” after the former Princess of Wales was killed in a car crash in Paris, 25 years ago.
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Speaking to Bradby, the duke described the guilt he felt while walking outside Kensington Palace after the ill-fated car crash in Paris, in 1997.
He said: “I cried once, at the burial, and you know I go into detail about how strange it was and how actually there was some guilt that I felt, and I think William felt as well, by walking around the outside of Kensington Palace.”
Harry also described feeling the mourners’ tears on his hands when he shook them.
He told Bradby: “There were 50,000 bouquets of flowers to our mother and there we were shaking people’s hands, smiling.
“I’ve seen the videos, right, I looked back over it all. And the wet hands that we were shaking, we couldn’t understand why their hands were wet, but it was all the tears that they were wiping away,” Harry, 38, continued.
He added that he and William were “unable to show any emotion” as they met the mourners.
“Everyone thought and felt like they knew our mum, and the two closest people to her, the two most loved people by her, were unable to show any emotion in that moment,” Harry told the broadcaster.
In previously released clips of the ITV interview, Harry defended himself against the accusation that he was violating his family’s privacy after “railing against” the intrusion into his own life.
He said: “That’ll be the accusation from the people that don’t understand or don’t want to believe that my family have been briefing the press.”
Harry also refused to commit to attending King Charles’s coronation if he is invited, telling Bradby: “The ball is in their court.”
Harry: The Interview will be broadcast on ITV1 and ITVX at 9pm on Sunday (8 January).
Additional reporting by Press Association