Prince Philip died, aged 99, on April 9.
"I was worried about it, I was afraid," Harry told The Associated Press of returning to the UK.
However, he said that he was able to work through his fear by using coping skills learned in therapy.
"It definitely made it a lot easier, but the heart still pounds," Harry said.
It comes as the first three episodes of the show, "The Me You Can’t See", were released.
In the show, Harry addresses traumatic memories from his childhood including the moment he was famously photographed with his brother, father, uncle and grandfather walking behind Diana’s coffin at her funeral.
“For me the thing I remember the most was the sound of the horses’ hooves going along the Mall,” the 36-year-old told his series co-host Oprah Winfrey.
“It was like I was outside of my body and just walking along doing what was expected of me. (I was) showing one tenth of the emotion that everybody else was showing: This was my mum – you never even met her.”
The series focuses on mental health, with Harry telling Winfrey the trauma of the loss caused him to suffer anxiety and severe panic attacks from ages 28 to 32.