The Sussexes celebrity dinner came after Prince Harry and Meghan made their first public appearance earlier that same day, after their bombshell announcement that they are stepping down as senior members of the royal family.
The royal couple attended a JPMorgan summit in Miami on Thursday night.
It is understood Harry and his former Suits actress wife made a staggering $500,000 from their appearance, which was attended by business heavyweights such as Bob Kraft and Magic Johnson.
Page Six reports that Gayle King introduced Meghan, who declared her “love for her husband”, before introducing him.
“Harry spoke about mental health and how he has been in therapy for the past few years to try to overcome the trauma of losing his mother,” a source revealed to the gossip publication.
“He talked about how the events of his childhood affected him and that he has been talking to a mental health professional.”
Harry also reportedly told the audience that he has spent the last seven years in therapy dealing with the death of his mother, Princess Diana.
“Harry also touched on Megxit, saying while it has been very difficult on him and Meghan, he does not regret their decision to step down as senior royals because he wants to protect his family.”
“He does not want Meghan and their son Archie to go through what he did as a child,' the source said.
Meanwhile a source close to the pair has revealed they feel "relieved" and as though "a weight has been lifted off their shoulders" since making the decision to step back from their senior roles last month.
"They are enjoying living a quiet life... They are real homebodies who love to chill out with Archie and the dogs," a royal insider told People.
Another source added: "This decision [to leave] had been weighing on them for a long time, and they are relieved to have it done. A weight has been lifted off their shoulders."