The 35-year-old also spoke about the decision to step away from front line royal duties, with a source telling the publication "it has been very difficult on him and Meghan, he does not regret their decision to step down as senior royals because he wants to protect his family.
"He does not want Meghan and their son Archie to go through what he did as a child."
The speech is not the first time the prince has spoken about the death of his mother, who was killed after a car crash in Paris in 1997.
Three years ago, he spoke out about seeking counselling after two years of "total chaos", spurred on by spending two decades "not thinking" about the death of Diana.
Before spoke at the event, said to have attended by billionaires, American breakfast show presenter Gayle King, who attended Meghan's baby shower in New York, introduced the duchess who spoke about her love for the US newspaper reported.
Details have not been released about why the couple attended the event but a number of charitable organisations have been featured at the event staged at the 1 Hotel in Miami's South Beach.
A Buckingham Palace spokeswoman said: "I can confirm reports the Sussexes attended a JP Morgan gathering in Miami yesterday, where the duke spoke."
A spokesman for JP Morgan declined to comment.
The couple are due to start their new life outside the royal family this spring.
During their tour of Africa they were closely trailed by ITV cameras, which filmed candid family moments and never before heard comments on life inside the world's best known family.