Kate and William opened up about the profound effects of becoming parents and the challenges they faced after their son Prince George, was born in 2013.
"Having a child, particularly your first child, is a life-changing moment, nothing can really prepare you for that," Kate said.
Despite the support they received from family, William and Kate said they felt overwhelmed in the immediate aftermath of George's birth.
William, Kate and Harry also spoke about the 1997 death of William and Harry's mother, Princess Diana, and how her death shaped their lives.
"We have been brought closer because of the circumstances as well, that's the thing," William said. "You are, you know, uniquely blinded because of what we've been through but even Harry and I over the years have not talked enough about our mother."
Harry agreed with his brother, saying, "No never enough."
The conversation is part of their Heads Together campaign to prioritize mental health and end stigma around seeking help for mental health issues. Their year-long campaign culminates at the 2017 Virgin Money London Marathon in which a team of more than 700 runners are participating to raise mental health awareness.