The three have been speaking out this week as part of a high-profile "Heads Together" campaign, which aims to break stigmas around mental health issues and encourage people to speak openly about their emotions.
In a six-minute film recorded at Kensington Palace in central London on Wednesday, the trio discussed the stress of becoming new parents, dealing with trauma at work, and the death of the princes' mother, Princess Diana, in a Paris car crash in 1997.
"When you have children, it really does put your own emotions and your own life into perspective and it has been very, very interesting understanding why I get so upset about some things, why some things affect me," William said in the clip released by his office on Friday.
"I thought I was fairly straight down the line, but I feel quite a lot more than I used to."
William, Queen Elizabeth's grandson and second in line to the throne, said he had taken home some of the cases he had encountered when working as an air ambulance helicopter pilot. He and Kate also spoke of the pressure of parenthood following the birth of son George in 2013.
"... You have no idea what you're doing no matter how many books you read - nothing can prepare you for it," Kate said. The first few weeks after they returned to their former home in Wales, she said, "were a steep learning curve, massively".
Earlier this week, William talked about how the shock of losing his mother still lingered 20 years after her death. Harry said he had sought counselling to help deal with the grief.
William warned the British virtue of the stiff upper lip could damage mental health - a departure from the royal family's traditional stoic attitude amid crises ranging from the 1936 abdication of King Edward VIII to the death of Princess Diana.
"I always thought to myself, 'what's the point in bringing up the past?'," Harry said. "What's the point in bringing up something that's only going to make you sad, it ain't going to change it, it ain't going to bring her back. When you start thinking like that, it can be really damaging."
A Kensington Palace spokesman said the royals had been overwhelmed by the response to their campaign.
"Having asked others to start conversations on mental health with their friends and families, they wanted to show that they are taking part as well," the spokesman said.
(Reporting by Michael Holden, editing by Larry King)
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