The Duke of Sussex was speaking to supporters of the organisation at a dinner in London on Sunday, a day after Buckingham Palace issued a statement confirming the terms of the Sussexes' decision to step back as senior royals.
Harry told those gathered: "Good evening, and thank you for being here for Sentebale, a charity me and Prince Seeiso created back in 2006 to honour my mother's legacy in supporting those effected by HIV and AIDS.
"Before I begin, I must say that I can only imagine what you may have heard or perhaps read over the last few weeks.
"So, I want you to hear the truth from me, as much as I can share - not as a prince, or a duke, but as Harry, the same person that many of you have watched grow up over the last 35 years - but with a clearer perspective.
"The UK is my home and a place that I love. That will never change. "I have grown up feeling support from so many of you, and I watched as you welcomed Meghan with open arms as you saw me find the love and happiness that I had hoped for all my life. Finally, the second son of Diana got hitched, hurray!
"I also know you've come to know me well enough over all these years to trust that the woman I chose as my wife upholds the same values as I do. And she does, and she's the same woman I fell in love with.
"We both do everything we can to fly the flag and carry out our roles for this country with pride. Once Meghan and I were married, we were excited, we were hopeful, and we were here to serve."
He continued: "For those reasons, it brings me great sadness that it has come to this.
"The decision that I have made for my wife and I to step back, is not one I made lightly.
"It was so many months of talks after so many years of challenges.
"And I know I haven't always gotten it right, but as far as this goes, there really was no other option."
"What I want to make clear is we're not walking away, and we certainly aren't walking away from you.
"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.
"But I hope that helps you understand what it had to come to, that I would step my family back from all I have ever known, to take a step forward into what I hope can be a more peaceful life.
"I was born into this life, and it is a great honour to serve my country and the queen.
"When I lost my mum 23 years ago, you took me under your wing. You've looked out for me for so long, but the media is a powerful force, and my hope is one day our collective support for each other can be more powerful because this is so much bigger than just us.
"It has been our privilege to serve you, and we will continue to lead a life of service. "It has also been a privilege to meet so many of you, and to feel your excitement for our son Archie, who saw snow for the first time the other day and thought it was bloody brilliant!
"I will always have the utmost respect for my grandmother, my commander in chief, and I am incredibly grateful to her and the rest of my family, for the support they have shown Meghan and I over the last few months.
"I will continue to be the same man who holds his country dear and dedicates his life to supporting the causes, charities and military communities that are so important to me.
"Together, you have given me an education about living. And this role has taught me more about what is right and just than I could have ever imagined. We are taking a leap of faith - thank you for giving me the courage to take this next step."
Harry was speaking after he and Meghan issued a bombshell statement on 8 January, where they announced they would be stepping back as senior royals.
The Queen held crisis talks at Sandringham with Prince Charles and Prince William days later to discuss the "next steps" after the fallout.
Sky's royal correspondent Rhiannon Mills said: "Yes we've heard statements previously but this is the first time in his words that he's told an audience how he's feeling.
"He is reiterating the fact that Harry and Meghan have wanted this new kind of life partly because of the intense scrutiny that they feel they faced from the press here in the UK but also around the world.
"After all we also heard from the Queen last night how she recognised that intense scrutiny that they've faced when it came to coming up with that deal to allow them to live that more independent life.
"So for the first time we have heard words from Prince Harry explaining as he describes it the truth behind the reason they had to make this dramatic decision about their future."
The Queen had smiled for the cameras earlier on Sunday after appearing in public with Prince Andrew for the first time since he retired from royal duties.
She appeared relaxed as she arrived at church near Sandringham shortly after sealing a deal with Harry which means he and his wife can step back from life as senior royals.
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