"The first time that Meghan and I met up for her to come and stay with me, we met up in a supermarket in London, pretending that we didn't know each other," Harry recalled. "So we texted each other from the other side of the aisles. There were people looking at me, giving me all these weird looks, and coming up to me and saying hi."
While trying to stay inconspicuous in the grocery store, Harry said he texted Meghan for instructions on what to buy.
"I texted saying, 'Is this the right one?'" he remembered. "And she said, 'No, you want parchment paper.' I'm like, 'OK. Where's the parchment paper?'"
Harry said the experience was "nice," before revealing that he had a baseball cap on and spent a lot of time looking at the floor while "trying to stay incognito."
"It's like, 'Whoa, signpost! Oops, someone's dog. Oh, hi,'" he quipped of the struggles not looking at where you're going. "It's amazing what you see, how much chewing gum you see, and how many people's shoes you see. It's a mess!"
During that chat, Meghan opened up about her struggle with mental health, revealing that she had had "suicidal thoughts." On the podcast, Harry said that "helplessness" about their situation plagued him.
"The three major times I felt completely helpless: one, when I was a kid in the back of the car with Mom being chased by paparazzi; two was in Afghanistan in an Apache helicopter; and then the third one was with my wife," he said. "Those are the moments in my life where, yeah, feeling helpless hurts. It really hurts."
"That's when you think to yourself, 'S**t. I've got the privilege. I've got the platform. I've got the influence, and even I can't fix this. I can't change this,'" Harry continued. "When you start getting in your head about it, that's when it starts taking a toll."
He was only able to confront those feelings head-on when Meghan suggested he start going to therapy.
"She saw it. She saw it straight away. She could tell that I was hurting and that some of the stuff that was out of my control was making me really angry. It would make my blood boil," he said. "Prior to meeting Meghan, it was very much a case of -- certainly connected to the media -- that anger and frustration of, 'This is so unjust.' Not just about me, but about all the stuff I was seeing."
After making the move to California, though, paparazzi and public interest still played a big role in their lives.
"It's a feeding frenzy here," Harry said. "We spent the first three-and-a-half months living at Tyler Perry's house. The helicopters, the drones, the paparazzi cutting the fence, it was madness."
Even now that Harry and Meghan have made the move to Montecito, which is about an hour outside of the city, they still deal with paparazzi.
"Two days ago, Orlando Bloom sent me a message 'cause he's down the road and we sort of keep in contact because of the paparazzi," Harry said. "He sent me a photograph, which his security got, of this long-haired guy with a beanie on, with his AirPods in, with his massive camera, lying in the back of his truck [with] blackout windows... taking photographs of them out with their kid and whoever else is in that area. How is that normal? How is that acceptable?"
Still, though, Harry said things are "way better" now than they've ever been.
"Living here now, I can actually lift my head and I feel different. My shoulders have dropped, so has [Meghan's]. You can walk around feeling a little bit more free," he said. "I get to take Archie on the back of my bicycle... I never had the chance to do that."