She said that she attended the event with Harry that night because she felt she could not be “left alone” and recalled Harry gripping her hand tightly while in attendance at the Royal Albert Hall.
Oprah also asked the duchess why she thought the Royal Family did not make her son Archie a prince – which Meghan said she wanted so that he would get police protection.
The Duke and Duchess of Sussex’s children do not automatically become princes or princesses because of a rule that has been in place since 1917 – unless the Queen steps in.
“In those months when I was pregnant, all around this same time so we have in tandem the conversation of he won’t be given security, he’s not going to be given a title, and also concerns and conversations about how dark his skin might be when he was born,” Meghan said.
She said the remarks about skin colour were made to Harry and he relayed them to her.
Asked by Oprah whether there were concerns that her child would be “too brown” and that would be a problem, Meghan said: “If that is the assumption you are making, that is a pretty safe one.”
When pressed, she refused to reveal who the individual was, saying: “I think that would be very damaging to them.”
Harry also refused to give further details, saying: “That conversation, I am never going to share.”
“At the time it was awkward, I was a bit shocked,” he added.
The 36-year-old prince said that none of his relatives spoke out in support of Meghan following the racism he said his wife faced from the media.
“No-one from my family ever said anything over those three years. That hurts,” Harry said.