Tina Brown, the princess’ biographer, made the heartbreaking revelation in Channel 5 documentary Diana: 7 Days That Shook The Windsors.
She explained: “Prince Harry actually asked his father, ‘Is it true that Mummy’s dead?
“The children couldn’t understand why everything was as normal, except a couple of hours earlier they’d been told their mother had died.”
The claims lift the lid on how the Royal Family initially tried to carry on as normal just hours after Diana was killed in the Paris car crash in 1997.
William, 15, and Harry, 12, attended a church service at Balmoral just hours after they were woken to be told the devastating news.
The Queen had asked for no mention of their mother during the service in case it upset her grandsons.
Royal biographer Ingrid Seward told the programme: “The first thing we saw of the boys was when they were going to church for Sunday service.
“And people were saying, ‘How could they? These boys have just lost their mother.’”
The documentary claims that William initially refused to join the funeral procession for his mother but changed his mind at the eleventh hour after speaking with the Duke of Edinburgh.
Journalist Richard Kay said: “He put a grandfatherly arm around him and said ‘look, if i come too, will you do it?’?
Royal photographer Dickie Arbiter also told the documentary that there was tension about whether William and Harry should take part in the procession at all, after Earl Spencer insisted on standing behind his sister’s coffin alone.
However, the Royal Family were insisting on having her children take part.
Arbiter explained: “Diana was their mother and William is one day going to be King and therefore he needed to be seen to be taking a role in mourning the loss of his mother.
“And Harry by default as the spare should be seen as well. It was a lot to ask of them.”
Some two billion people watched Diana’s funeral worldwide, making it one of the most watched events in history.
Top pic: Rex