Queen Elizabeth removed all newspapers from Balmoral after Princess Diana's death.
The 91-year-old monarch took the step to ensure her grandsons Princes William and Harry, who were 15 and 12 years old respectively at the time of their mother's passing in August 1997, wouldn't read any news reports about their mum and would have "privacy to mourn".
William, 35, said: "At the time my grandmother wanted to protect her two grandsons, and my father as well.
"Our grandmother deliberately removed the newspapers so there was nothing in the house at all so we didn't know what was going on.
"And back then, obviously, there were no smartphones or anything like that so you couldn't get your news, and thankfully at the time to be honest, we had the privacy to mourn and collect our thoughts and to have that space away from everybody.
"We had no idea that the reaction to her death would be quite so huge."
Elizabeth was criticised by some for remaining at her Scottish residence with her grandsons immediately after Diana died, but William insists it was a tough choice to make.
He said: "I think it was a very hard decision for my grandmother to make. She felt very torn between being a grandmother to William and Harry and her queen role.
"Everyone was surprised and taken aback by the scale of what happened and the nature of how quickly it happened, plus the fact that she had been challenging the Royal Family for many years beforehand."
Harry agreed with his brother, admitting it was a difficult decision for the queen to know how much time she should let them grieve privately before being seen in public.
Speaking on upcoming BBC documentary 'Diana, 7 Days', which will air on Sunday (27.08.17), Harry, 32, added: "It was a case of how do we let the boys grieve in privacy, but at the same time when is the right time for them to put on their prince hats and carry out duties to mourn not just their mother, but the Princess of Wales ... and a very public audience."