The move to Canada was designed for the couple – who recently returned to the UK with Archie, now 7, and daughter Princess Lilibet, 5, after six years living in California – to be able to “get some space away from everything just to be able to think”.
Harry was just 12 years old when his mother, Princess Diana, died in a car accident and he believes his desire to join the military stemmed from being driven by adrenaline while experiencing “emotional shutdown”.
Speaking to neuroscientist Dr Mary-Frances O’Connor, he said: “For 15, 20 years, when I was being asked, ‘Are you okay?’ My response was, ‘I’m fine’. It was numbness, emotional shutdown.
“And without knowing it, adrenaline was pushing me, was driving me.
“It was the driving force of what took me to joining the military at the age of 20. It was the perfect distraction. I couldn’t really think about much else apart from the task at hand.”
But after returning from his second tour of Afghanistan in 2013, Harry began to realise his military experiences had triggered trauma from earlier in his life.
He said: “The things that I saw, the things I experienced, appeared to be a trigger for other traumas that had stored themselves within me.
“I started to realise that I probably had become seriously depleted when just putting a simple dress shirt on – the tightening of the collar – literally felt like I was suffocating, and I would be experiencing panic attacks just in the car on the way to work.
“And that’s when I realised, ‘Okay, there’s something bigger, there’s something else that you need to look into here.’ ”
MasterClass, which is an online streaming and education platform, approached Harry last year about developing a class centred on grief, which he filmed in California earlier this summer.
It has been released ahead of World Mental Health Day on October 10 and benefits two bereavement charities, Comfort Zone Camp and Scotty’s Little Soldiers.