Prince Harry has said he and Meghan felt they had "no other option" but to step back from their roles in the British royal family.
It comes after they confirmed plans earlier this month to step back from their roles and to start splitting their time between the UK and North America.
At the weekend, Buckingham Palace confirmed the couple will lose their public funding for royal duties and will no longer be able to use their HRH titles.
The couple will also pay back costs for the refurbishment of their UK family home Frogmore Cottage.
Speaking at a private event in London on Sunday, Prince Harry said he felt "great sadness that it has come to this".
He explained: "The decision that I have made for my wife and I to step back is not one I made lightly. There were so many months of talks after so many years of challenges.
"I know I haven't always got it right, but as far as this goes, there really was no other option."
He added: "What I want to make clear is we're not walking away.
"Our hope was to continue serving the Queen, the Commonwealth, and my military associations, but without public funding. Unfortunately, that wasn't possible.
"I've accepted this - knowing that it doesn't change who I am or how committed I am."
He added that he hopes the decision to stepping back "from all I have ever known" means he and his family can now live a "more peaceful life".
In a statement on Sunday, Queen Elizabeth said she was pleased that the royal family had found a "constructive and supportive way forward for my grandson and his family".
She added: "Harry, Meghan and Archie will always be much loved members of my family.
"I recognise the challenges they have experienced as a result of intense scrutiny over the last two years and support their wish for a more independent life."