The prince was asked by footballer Rio Ferdinand, whose wife died last year, about the possible impact of that on his children, and replied: "I really regret not ever talking about it."
Prince Harry was hosting an event for mental health charity, Heads Together.
The Princess of Wales was killed in a car crash in 1997, when Harry was 12.
But the prince said he did not speak about losing his mother "for the first 28 years of my life".
Prince Harry formed Heads Together with the Duke and Duchess of Cambridge to bring together leading mental health charities.