The event, which was hosted at Kensington Palace, was attended by several high-profile sports stars who were invited to open up about experiences in their past. Harry set the charity up with his brother and sister-in-law, Prince William and Kate Middleton.
"The key message here today is that everyone can suffer from mental health," Harry told BBC Breakfast.
"Whether you're a member of the royal family, whether you're a soldier, whether you're a sport star. It doesn't really matter. Everyone can suffer."
He explained it was important for those grieving to talk about their feelings: "It's OK to suffer, but as long as you talk about it. It's not weakness. Weakness is having a problem and not recognizing it and not solving that problem.