The brothers were seen chatting as they walked out of the chapel following their grandfather's funeral.
Another disclosure included Harry voicing to Winfrey that his associations with his dad, Prince Charles and William have ruptured.
On Saturday, William and Harry walked in silence on either side of their cousin, Peter Phillips, as they joined other senior royals in Philip's funeral procession.
The ceremony with just 30 mourners behind the stately walls of Windsor Castle, west of London, will be watched by an expected television audience of millions.
The Queen will travel in the State Bentley in the procession, behind the family members on foot, before entering by a side door to the chapel.
The source said, "Meghan wishes she could have flown to the U.K. to support her husband but has been advised not to due to her pregnancy."