Prince Harry was just 12 years old when his mother, Diana, Princess of Wales, died in a car crash in 1997.
For years the red-headed royal stayed mum on the subject, a decision he now says he regrets.
Ferdinand attended the event alongside other athletes like Dame Kelly Holmes, Iwan Thomas, and cyclist Victoria Pendleton, all of whom have spoken publicly about depression.
"A lot of people think if you've got a job, if you've got financial security, if you've got a family, you've got a house, all that sort of stuff, everyone seems to think that is all you need and you are absolutely fine to deal with stuff," the 31-year-old prince said.
Last November, Harry opened up about the "gaping hole" that was left behind when his mother passed away. Upon opening the Mamohato Children's Centre in Lesotho, Africa, — which includes a building named in honour of the late princess — Harry explained his mother's passing left him feeling a lot like the orphans he helps today.