Video report by ITV News Royal Editor Chris Ship
The Queen has described her husband's death as "having left huge void", Prince Andrew has said.
He was accompanied by the Earl and Countess of Wessex, with their daughter Lady Louise Windsor, when they attended the Sunday service at the Royal Chapel of All Saints at Royal Lodge, Windsor.
ITV News Royal Editor Chris Ship said on Sunday night he understands Prince Harry is likely to be in the country:
The Queen is understood to have attended a mass privately in Windsor Castle on Sunday.
The Duke of York said: "[The Queen] described it as having left a huge void in her life but we, the family, the ones that are close, are rallying round to make sure that we’re there to support her."
He added his father's death had made he realised "we are all in the same boat" because so many people had lost their lives during the pandemic, and even though Prince Philip did not die from Covid "we're all feeling a great sense of loss."
The church service is the first time the sons have been seen in public together since their father's death.
The Earl of Wessex told reporters: "It’s been a bit of a shock. However much one tries to prepare oneself for something like this it’s still a dreadful shock.
"And we’re still trying to come to terms with that. And it’s very, very sad.
"But I have to say that the extraordinary tribute and the memories that everybody has had and been willing to share has been so fantastic."
Prince Edward added: "And it just goes to show, he might have been our father, grandfather, father-in-law, but he meant so much to so many other people."
The Queen is "thinking of others before herself", the Countess of Wessex said as she left a church service at the Royal Chapel of All Saints at Royal Lodge, Windsor.
Sophie told wellwishers the Duke of Edinburgh’s death was “peaceful”, adding “it was like someone took him by the hand and off he went”.
“It’s such a shock but at the same time you know it’s going to happen, but when it happens its just this massive, massive hole.
“It was right for him and it was so gentle, it was just like someone took him by the hand and off he went. It was very, very peaceful and that’s all you want for somebody, isn’t it?”
Sophie added: “So I think it is so much easier for the person that goes than the people who are left behind. We are all sitting here looking at each other going ‘this is awful’.
“But equally, look at all the tributes. It’s just amazing.”
She shared a joke about the manicured lawn of the church yard.
Pointing to the sky, Sophie said: “Well we know if (staff) had not done such a great job, there is one person who would have noticed!”
The Earl of Wessex added: "As always. But bearing up, and again it’s just that wave of affection for him (the Duke of Edinburgh) and just those lovely stories.
"They just mean so much and the tributes have been just fantastic. That’s really, really important and we really do appreciate it."
The Countess of Wessex said Prince Philip took an interest in the lives of everyone on the estate and added "they have all got stories to tell and most of them quite funny as well."
The family spoke to workers from the Windsor estate and the congregation when they arrived at All Saints, which the Queen normally attends outside of lockdown.
The royals also thanked everyone for their support particularly over the last few days following the duke’s death on Friday.
It comes just a day after Prince Charles spoke movingly of his "dear Papa" in a heartfelt tribute, who he said had devoted himself to the Queen, his family and the country for some 70 years.
The eldest son of Philip said the royal family are being helped through this "particularly sad time" by the public outpouring of support following the death of the "much-loved" Duke.
The Prince of Wales thanked the nation and people across the Commonwealth for the outpouring of loss and "touching things which have been said" about Prince Philip, which he said would "sustain" the Royal Family "at this particularly sad time".
On Sunday, the Archbishop of Canterbury, who is expected to officiate at Prince Philip's funeral next Saturday, paid tribute to Philip during a remembrance service.
Speaking at Canterbury Cathedral, he said the Duke showed a "remarkable willingness to take the hand he was dealt in life and straightforwardly to follow its call".
"With His Royal Highness The Duke of Edinburgh, there was a willingness, a remarkable willingness to take the hand he was dealt in life and straightforwardly to follow its call, to search its meaning, to go out and on as sent to enquire and think, to trust and to pray."
The Royal Family's Instagram account shared a moving quote made by the Queen during the celebration of their golden wedding anniversary in 1997.
She said: "He (Philip) has, quite simply, been my strength and stay all these years, and I, and his whole family, and this and many other countries, owe him a debt greater than he would ever claim, or we shall ever know.”