The Duke of Cambridge told the Davos World Economic Forum that "a lot" of stars were approached, but none wanted to be associated with mental illness.
He also said the wartime generation may have helped create some of the stigma.
People preferred not talk about such "horrendous" events, a stoic attitude passed on to their children.
The prince created Heads Together, launched to help combat the stigma of mental health, in 2017 with the Duchess of Cambridge and Prince Harry.
The duke told his audience of business leaders about his own struggles with mental health, saying there was one traumatic incident that he didn't think he would "ever get over".
He said if he hadn't opened up to colleagues about the situation, he would have "gone down a slippery slope" mentally.
Looking visibly emotional, he said he still found the incident "very difficult to talk about" because it was "related very closely to my children", George, Charlotte and Louis.
The prince has spoken previously about "very traumatic" callouts involving children while working for the air ambulance.
But he said such feelings were "only human", adding: "Yes, you put a suit of armour on… but one day something comes along closely related to your own personal life and it really takes you over a line."