The brothers greeted singer Nelly Furtado and 1980s chart-toppers Duran Duran, two of the acts taking the stage to remember Diana almost 10 years after her death in a Paris car crash.
The concert, organized by Diana's sons, falls on what would have been her 46th birthday. The princess died Aug. 31, 1997, along with her boyfriend Dodi Fayed and their driver when their Mercedes crashed inside the Pont d'Alma tunnel, while media photographers pursued them.
The memorial concert features music from some of Diana's favorite acts, including Tom Jones, but will also host younger performers including Kanye West, P. Diddy, Joss Stone and Lily Allen.
The two princes were scheduled to address the 65,000-strong crowd from the stage at some point during the show.
In an interview with the British Broadcasting Corp., William, 25, admitted to nervousness.
"We'll probably be gibbering wrecks by the end of it," he said.
Security for the event was increased after the discovery of two unexploded car bombs in central London on Friday and an attack on Glasgow airport on Saturday that involved a Jeep Cherokee slamming into the main terminal and bursting into flames.
Police said they believed Saturday's attack was linked to the car bombs, and Britain raised its terror alert to "critical" — the highest possible level. At least 450 officers were on duty to police the concert.
The show also includes a performance by the English National Ballet and songs by Andrew Lloyd Webber in honor of Diana's love of dance and theater.
A family of fans from Portsmouth in southern England said they had come to sample the wide variety of acts all playing under the same roof — but that the memory of Diana's death was also in their minds.
"I was devastated," Karen Moore, 50, a restaurateur, said of Diana's death.
Her husband, David, 52, and the couples' daughters, Lucy, 23, and Katie, 21, said they were there for the music, but also wanted to express their sympathy for the princes.
"William and Harry are the same age as us," Lucy said.
Diana is remembered for her glamour, for her extensive charity work — and for her tempestuous marriage to Prince Charles, heir to the British throne. The pair married in 1981 in a ceremony watched by millions around the world, but divorced in 1996 after admissions of adultery on both sides.
William said the concert was a chance for people to "remember all the good things about her because she's not here to defend herself when she gets criticized."
"After 10 years, there's been a rumbling of people bringing up the bad, and over time people seem to forget — or have forgotten — all the amazing things she did and what an amazing person she was," William said in the interview, which was recorded earlier this month and broadcast Friday.
Tickets for the concert cost $90, with proceeds going to causes Diana supported, including land mine and AIDS charities.
Harry, 22, said the brothers had asked Elton John to play "Candle in the Wind," the song he played at Diana's funeral in Westminster Abbey. Originally about Marilyn Monroe, its lyrics were reworked in tribute to Diana, and it became a worldwide No. 1 hit in 1997.
A memorial service is also planned in London on Aug. 31, the anniversary of Diana's death.