Prince Harry understands what it's like facing a loved one who is experiencing suicidal thoughts.

The Duke of Sussex, who has been candid about his own mental health struggles, appeared on a bonus episode of his Apple TV+ mental health series, "The Me You Can’t See," which was released on Thursday night.

The 36-year-old spoke about the fear and shame that some people may feel for not knowing how to respond when their loved one is struggling.

"So many people are afraid of being on the receiving end of that conversation because they don’t feel like they have the right tools to give the right advice," said Harry, as quoted by U.K.’s DailyMail.  

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"But what you [want] to say is, ‘You’re there,’" he shared. "Listen, because listening and being part of that conversation is without doubt the best first step that you can take."

FILE - In this Nov. 11, 2018 file photo, Meghan Markle, Duchess of Sussex, attends the Remembrance Sunday ceremony at the Cenotaph in London. Meghan Markle’s father appealed to his daughter to call him, saying on Monday, Dec. 17, 2018, that they hadn’t been in touch since her wedding to Prince Harry in May. (AP Photo/Alastair Grant, File)

Meghan Markle previously admitted to her husband Prince Harry she was experiencing thoughts of self-harm. (AP)

In an earlier episode of the series, Harry admitted he had no idea what to say when his wife Meghan Markle, told him she was contemplating suicide right before a royal engagement in January 2019.

The Duchess of Sussex recalled that moment in the couple’s televised interview with Oprah Winfrey in March.

"I’m somewhat ashamed of the way that I dealt with it," said Harry. "And of course, because of the system that we were in and the responsibilities and the duties that we had, we had a quick cuddle and then we had to get changed to jump in a convoy with a police escort and drive to the Royal Albert Hall for a charity event. Then step out into a wall of cameras and pretend as though everything’s OK."

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According to Harry, the 39-year-old, who was pregnant with their son Archie at the time, didn’t harm herself because she didn’t want her husband to endure the loss of "another woman" in his life.

Harry’s mother, Princess Diana, died in 1997 at age 36 from injuries she sustained in a Paris car crash. Harry was 12 at the time.

Prince Harry was just 12 years old when he lost his mother, Princess Diana. (Photo by Andy Stenning/Mirrorpix/Getty Images)

"The thing that stopped her from seeing it through was how unfair it would be on me after everything that had happened to my mum and to now be put in a position of losing another woman in my life, with a baby inside of her, our baby," said Harry in the series.

"The Me You Can’t See" was co-created and co-executive produced by Harry and Winfrey, 67. In the series, Harry revealed that he first saw a therapist approximately four years ago at the encouragement of Markle. He also detailed his own experiences with trauma and grief.

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The Duke and Duchess of Sussex’s departures from royal duties began last year over what they described as the British media’s intrusions and racist attitudes towards the former American actress. The family now resides in the coastal city of Montecito, Calif. They are expecting a second child, a girl, due this summer.

If you or someone you know is considering suicide, please contact the National Suicide Prevention Lifeline at 1-800-273-TALK (8255).

The Associated Press contributed to this report.