The Duke and Duchess of Sussex gave a glimpse into the struggles they face as newlyweds and new parents to baby Archie in the ITV documentary Harry & Meghan: An African Journey.
His comments, made during his recent tour of southern Africa, come in a year which has seen the couple split from their joint charity with William and Kate, the Duke and Duchess of Cambridge, after reports of a rift, first between Kate and Meghan, and then between William and Harry.
Talking about his relationship with William, the duke said that "inevitably stuff happens", particularly with such a high-profile role and a family that lives under pressure.
He said: "We are brothers. We will always be brothers.
"We are certainly on different paths at the moment but I will always be there for him as I know he will always be there for me.
• READ MORE: Video: Prince Harry breaks down during emotional speech at WellChild Awards"We don't see each other as much as we used to because we are so busy but I love him dearly.
"The majority of the stuff is created out of nothing but as brothers, you know, you have good days, you have bad days."
Harry was also asked by journalist Tom Bradby whether Meghan faces the same pressures in the spotlight as his mother Diana, Princess of Wales, who died in a car crash in Paris in 1997.
He said: "I think I will always protect my family, and now I have a family to protect.
"So everything that she (Diana) went through, and what happened to her, is incredibly important every single day, and that is not me being paranoid, that is just me not wanting a repeat of the past."
As the tour ended, Harry, 35, and Meghan, 38, brought separate legal actions against parts of the press.
Meghan is suing the Mail on Sunday over an alleged breach of privacy after it published a private letter between her and her estranged father.
Harry has begun legal action at the High Court in relation to the alleged illegal interception of voicemail messages by Sun, News of the World and Daily Mirror journalists.
• READ MORE: Prince Harry’s attack on tabloid press ignores Princess Diana’s publicity-seeking – John McLellanThe couple have faced mounting criticism after reportedly taking four private jet journeys in 11 days this summer, rather than opting for commercial flights, despite speaking out on environmental issues.
The final day of the Africa tour was overshadowed by Harry's attack on the British tabloid press, in which he criticised certain sections of the media for conducting a "ruthless campaign" against his wife.
Dealing with the pressures of his life is a matter of "constant management", according to Harry.
He added: "Part of this job, and part of any job, like everybody, is putting on a brave face and turning a cheek to a lot of the stuff, but again, for me and again for my wife, of course there is a lot of stuff that hurts, especially when the majority of it is untrue.
"But all we need to do is focus on being real, and focus on being the people that we are, and standing up for what we believe in.
"I will not be bullied into playing a game that killed my mum."
Meghan described the past year as a member of the royal family as "hard" and said her British friends warned her not to marry Harry.
The US-born former actress said she had tried to cope with the pressures of her new life, since marrying in May 2018, by putting on a "stiff upper lip" but she was not prepared for the intensity of tabloid interest.
Meghan said: "It's hard. I don't think anybody could understand that, but in all fairness I had no idea, which probably sounds difficult to understand ... but when I first met my now-husband my friends were really happy because I was so happy, but my British friends said to me, 'I'm sure he's great but you shouldn't do it because the British tabloids will destroy your life'."
On whether she can cope, Meghan said: "In all honesty I have said for a long time to H - that is what I call him - it's not enough to just survive something, that's not the point of life. You have got to thrive.
"I never thought this would be easy but I thought it would be fair, and that is the part that is hard to reconcile but (I) just take each day as it comes."