Her remark is the strongest hint yet that the 22-year-old Royal will see action in Iraq .
Chelsy, 21, hopes her trip will keep her mind off her fears while cavalryman Harry joins comrades for a dangerous tour of duty.
Accompanied by elder brother Shaun, 24, she will kick off the adventure by jetting to the U.S. casino city of Reno, Nevada, before heading for a spell in Rio de Janeiro.
One of Chelsy's close friends told The Sun: "She revealed her plans at a pal's wedding two weeks ago. She is keen to find something to take her mind off Harry while he is busy with his regiment.
"Harry and Chelsy are very close and hate spending time apart.
"This amazing journey is the only way Chelsy will cope with the challenge of next year when Harry will be right in the danger zone."
Officially, the Ministry of Defence insists that a final decision about whether second lieutenant Harry will be allowed to fight in Iraq has yet to be made.
The Prince has always said he is determined to do battle with his 100-strong unit, A Squadron of the Blues and Royals — part of the Household Cavalry.
They begin a six-month tour of Iraq in the spring. And before that, they are expected to take part in war games and exhaustive preparations for conflict.
The decision over the young Royal is deemed so important it will be made by the Army's top man, Chief of the General Staff General Sir Richard Dannatt.
But a bandwagon of popular support is growing among the ranks to allow Harry to fulfil his dream of active service. Despite alarm over the possibility of putting the Prince's life in danger, top brass will find that hard to refuse.
And during the Falklands War, Harry's uncle Prince Andrew was allowed to fly perilous missions in his Sea King helicopter.
But the most convincing argument against Harry seeing action in Iraq is the attention it will attract to his troop from homicide bombers. A target of the third in line to the British throne will be a magnet to fanatics for hundreds of miles around.
One solution could be a compromise allowing Harry to go to Iraq, but only in a role that keeps him behind a desk in a secure base.
Chelsy and Shaun are expected to join their father Charles for a hunting conference in Reno before going on to Rio.
Zimbabwe-born Chelsy is also set to indulge her love of horses by visiting some of South America's world class polo ranches.
The Sun told earlier this month how she had completed an economics degree course at Cape Town University and was selling her home in the South African city ready for a move to Britain.
After her travels she is expected to enrol for a post-grad course at a British university and live near Harry's Highgrove home. Her friend said of her trip: "She has discussed her plans with Harry and he is supportive. But they both know the months ahead will be the most challenging yet for their relationship."
Harry was confined to his Windsor barracks on Christmas Day as a "payback" to the Army for his week off in November, when he went canoeing in Namibia with Chelsy.
He joined comrades in sinking a traditional 9am mug of "gunfire" — a wickedly-strong brew of tea and whisky.
It was the first time the young officer had spent Christmas away from the Queen and Sandringham.
A source at the barracks said: "Like all of the men, Harry was in his combats and wished everyone all the best."