Harry confirms tension with William and 6 other things we learnt from the new royal documentary.

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The Duke and Duchess of Sussex make headlines every day, but it’s very rarely that they were able to directly respond to them and create their own narrative.

During their recent 10-day tour of South Africa, Malawi, Angola and Botswana Prince Harry and Meghan Markle were followed by the prince’s friend and ITV reporter Tom Bradby for documentary, Harry & Meghan: An African Journey.

Harry & Meghan: An African Journey will air in Australia on Tuesday night. Post continues below video.

The biggest headline to come from the documentary, which aired in the UK on Sunday night, was Prince Harry’s acknowledgement of the persistent rumours that he and older brother Prince William had fallen out.

Asked how much of the speculation was true, Harry laughed before saying: “Part of this role, part of this job and this family being under the pressure it is under, inevitably stuff happens.

“But look, we are brothers, we will always be brothers. We are certainly on different paths at the moment but I will always be there for him and, as I know, he will always be there for me.”

He added that the brothers don’t see each other as often as they used to, which is not surprising given they both have families and are travelling for royal responsibilities.

"But love him dearly and the majority of stuff is created out of nothing," Harry said.

"As brothers, you have good days, you have bad days."

But while that's the headline grabbing part, it's far from the only interesting thing to come from the hour-long doco.

Here's what else we learned from Harry & Meghan: An African Journey.

Meghan admitted she struggles behind the scenes.

Meghan addressed the intense media focus on her life and admitted for the first time that she’s struggling to cope behind the scenes.

"Look, any woman - especially when they are pregnant - you’re really vulnerable and so that was made really challenging, and then when you have a newborn – you know?" she told Bradby as she held back tears.

"And especially as a woman, it’s a lot. So you add this on top of just trying to be a new mum or trying to be a newlywed it’s, well…"

After months of negative media attention, the Duchess thanked Bradby for asking her the simple question: Are you OK?

"Not many people have asked if I’m OK. It’s a very real thing to be going on behind the scenes," she said.

"Would it be fair to say, 'Not really OK?' As in it’s been a struggle?" asked Bradby.

"Yes," she nodded.

Meghan was warned the British tabloids would 'destroy her life'.

When Meghan first met Harry, her American friends were "so happy because I was happy," she told Bradby, but she was warned not to get involved with the prince by a British pal.

"I'm sure he's great but you shouldn't do it because the British tabloids will destroy your life," Meghan recalled her friend telling her.

Meghan said that coming from the US, she "very naively" didn't know about the tabloids and "didn't get it".

Harry and Meghan aren't moving to Africa.

Remember those rumours that Harry, Meghan and baby Archie would pack up their lives in London and move to somewhere in the great big continent of Africa?

In the documentary, Prince Harry said he would love to be based in Africa, but that was unlikely to happen.

"I don’t know where we could live in Africa at the moment," he admitted.

"We’ve just come from Cape Town, that would be an amazing place for us to be able to to base ourselves, of course it would. But with all the problems that are going on there I just don’t see how we would be able to really make as much difference as we’d want to."

He acknowledged that he and his family could move there, but they would be somewhat sheltered from the reality.

"I think it's a very hard to place to live when you know what's going on but you're also slightly disconnected from it."

But the prince said that his family would focus most of their future work on conservation in the continent.

"The rest of our lives, especially our life’s work will be predominantly focused on Africa, on conservation," he said.

"There are 19 commonwealth countries across this continent, there’s a lot of things to be done, there’s a lot of problems here but there’s also huge potential for solutions."

Harry is still haunted by the death of Princess Diana.

Prince Harry described his grief over his mother's death as a "wound that festers".

"I think being part of this family, in this role and this job, every single time I see a camera, every single time I hear a click, every single time I see a flash, it takes me straight back," he said.

"So in that respect, it's the worst reminder of her life as opposed to the best."

Harry now worries about Meghan and his son, who lived in the same fishbowl that his mother did, and how that impacts their lives.

"I will always protect my family, and now I have a family to protect. Everything she [Diana] went through is incredibly raw, every single day - and that’s not me being paranoid, that’s just me not wanting a repeat of the past. If anybody else knew what I knew, be it a father, a husband, anyone, you’d probably be doing exactly what I do as well.”

Harry is constantly managing his own mental health.

Harry, an outspoken mental health advocate, was asked about his own struggles in the face of all the pressure he is under.

"It’s management, it’s constant management. I thought I was out of the woods, and then suddenly it all came back. Part of this job, and part of any job, means putting on a brave face, and turning a cheek to a lot of the stuff. But for me and for my wife, of course there’s a lot of stuff that hurts - particularly when the majority of it’s untrue.

"But all we need to do is focus on being real and being the people that we are, and standing up for what we believe in. I will not be bullied into playing a game that killed my mother."

Meghan shared her nickname for Harry.

She calls him 'H'. Short and sweet.

Harry and Meghan: An African Journey is available on 10Play and will air 7.30pm Tuesday on Ten.