Following the event, Gwen revealed that palace aides had attempted to hurry the Duke of Sussex along, but he asserted: "I'm in the middle of a conversation."
She told PEOPLE: "He stopped and said, 'I’m in a middle of a conversation, and I’m not going to leave this.'
"We were talking about my story and mental health and how difficult it is still, in our society, to talk about grief and loss and suicide," Gwen said.
"And how important things like the Invictus Games are to shedding light on, and allowing people to start to have these conversations that are great to have.”
The conversation had a profound impact on Gwen, who said: "I think they [Harry and Meghan] provide this beacon of hope and light for so many.
"They're touching, they're shining that interest on the Games, and that shines light on their service and that shines light on the sacrifices their families make.
"I was humbled by the opportunity to spend that time with him and grateful for all he is doing given his place in the world."
Prince Harry and Meghan Markle touched down in Fiji on October 23.