"Men like Professor Green, Freddie Flintoff and Rio Ferdinand have led the way and made films for Heads Together (a campaign raising awareness about mental health) showing the conversations they have had about pressures on their mental health".
The two spoke over FaceTime from their respective homes in London and Malibu.
"I still have shock within me - people say it can't last that long but it does", he said in the Mind Over Marathon documentary, which airs on Thursday.
It was not until three years ago that Harry, 32, sought professional help at the urging of his brother Prince William. This is a part of me and that's okay.
In addition to working with young women dealing with mental health issues, Mercy UK trains pastoral teams to support people in challenging situations and also helps pastors who are struggling.
Harry added: "And after how many years of listening to stories from veterans and their families and then specifically in this campaign, William, Catherine and I hearing some of the most heart- wrenching stories based around what people have experienced and then the mental anguish that's happened from then". She told Prince William in the video that talking more openly about mental health would let people feel like "we are not hiding anymore".
The multi-platinum recording artist revealed how hard yet therapeutic it was when she finally addressed her own challenges with PTSD.
"If you don't acknowledge how you feel it will only bottle up, and could reassert itself later as illness", Prince William told the magazine.
Published by the charity CALM, Calmzine hopes to tackle issues surrounding men's mental health. The Duke was hugely impressed with the openness displayed in the letter and asked Lady Gaga to get involved with the Heads Together campaign.
Their video came just days after Prince Harry confessed he shut down his emotions and refused to think about his mother Princess Diana's death in 1997, when he was aged 12. "You just learn to deal with it", he said.
The father of two also invited Gaga to meet up with him in October in the United Kingdom so they could collaborate on a future project with Heads Together.
"There may be a time and a place for the 'stiff upper lip, ' but not at the expense of your health", Prince William said, urging readers to end the taboo about discussing traumatic personal issues.