The 91-year-old monarch has faced some criticism in the past for staying on at Balmoral Castle in Scotland in the days after the death of Diana, away from the public outpouring of grief in London.
"At the time, you know, my grandmother wanted to protect her two grandsons, and my father as well. Our grandmother deliberately removed the newspapers, and things like that, so there was nothing in the house at all. So we didn't know what was going on,"Prince William says in a BBC documentary commemorating his mother's 20th death anniversary to be aired on Sunday.
The documentary, by the award-winning film-maker Henry Singer, charts the week between Diana's death in the car crash in Paris on August 31, 1997 and her Westminster Abbey funeral through interviews with politicians, family and friends.
William and Harry have taken part in a series of high- profile and candid interviews in the run-up to Diana's 20th death anniversary next week.
More From This Section
"It was a case of 'how do we let the boys grieve in privacy but at the same time when is the right time for them to put on their prince hats and carry out duties," said William's brother Harry.
"I remember just feeling completely numb, disorientated, dizzy. You feel very, very confused. And you keep asking yourself 'why me?' all the time 'why, what have I done? why, why has this happened to us?'" William recalls.
Harry said one of the "hardest" things for a parent to have to do is to tell their children that their other parent has died.
"How you deal with that I don't know but, you know, he was there for us," Harry adds.
The documentary also reveals the duo's - then aged 15 and 12 - conflicted feelings at walking behind their mother's coffin, having to greet the screaming and grieving crowds after her death.
"I just remember hiding behind my fringe. It was kind of like a little tiny bit of safely blanket. I know it sounds ridiculous but at the time I felt if I looked at the floor with my hair in my face no-one could see me," he adds.