"We did a test. We put up [pictures of] all these castles - like Balmoral [and] Windsor - and we said, 'Which one of these ones was your Balmoral Castle?'" David shared.
"And he was like, 'That one!'"
Which is when Billy pointed at a picture of Balmoral, the Scottish castle where Princess Diana and the rest of her family loved to holiday.
Candidly, David also revealed that when Billy was tiny, he'd told his parents that spirits took him away at night and brought him back by morning.
"When Billy was not sleeping very well as a baby, Lisa went in and asked him why. Billy replied, 'Because they come and take me'," he revealed.
"When Lisa asked who, Billy pointed to the roof and said, 'They do, but they bring me back by morning.'"
David, who shares three children with his wife Lisa - nine-year-old Leo, and four-year-old twins, Billy and Betty - said in his column how his son's comments regarding Diana became more and more accurate, even though they've never shared any details of the Princess or royal family with their children.
"It started when someone gave my wife Lisa, who is very British, a thank-you card with Lady Di on it. Billy pointed and said, 'Look! It’s me when I was a princess,'" David admitted.
Billy is said to have kept insisting he was Diana, and mentioned the "sons" he had "as a Princess".
He also left his parents speechless when he accurately described the Royal Family's Balmoral residence to a Scottish friend who was visiting the family.
"To a Scottish friend of ours, he claimed when he was Princess Diana he used to go to a castle in that kilted wonderland. He described the castle as having 'unicorns on it' and was called Balmoral," David shared.