The Prince also admitted he and William are travelling on "different paths" and have "good days" and "bad days" in their relationship - in what was the first public acceptance of a rift between the brothers.
While the Duchess of Cambridge and Camilla, Duchess of Cornwall, stood beside the monarch, the Duchess of Sussex joined Sophie, Countess of Wessex, on a separate balcony to watch the memorial service in London this morning.
It marked the first time that Meghan and husband Prince Harry, 35, were seen with Prince William, 37, and Kate Middleton, 37, since the couple opened up about their struggles in an emotional television documentary last month.
The two couples sat at either end of the royal box, with the Duke and Duchess of Sussex perched behind Prime Minister Boris Johnson.
The pair have also leaned on each other in hard times; earlier this year, it was reported Meghan had been going to Williams for support amid an onslaught of nasty comments on the Sussexes' social media pages. This year in particular, the program marked the 75th anniversary of the battles of 1944, including D-Day, and the 100th anniversary of the founding of the intelligence and security organization, the Government Communications Headquarters or GCHQ.
The event is held to commemorate those who lost their lives in conflicts.
Prince William and Prince Harry at the Remembrance Day Service at the Cenotaph, in London, Nov. 10, 2019.
"She flew all the way with a newborn to see me play in NY and flew all the way back that night, and I probably couldn't have done that", the tennis star said.
"But look, we're brothers".
"It kind of goes to show you what an awesome person that she is, and that's just one of the many things that she does for me".
"But, I love him dearly and, you know, the majority of the stuff is created out of nothing".