During the sit-down, the pair discussed mental health and Prince Harry’s struggles of feeling “trapped” inside the royal family.
Kicking off the podcast, Shepard said he was “really excited” to meet Harry because he didn’t know much about the family.
“You’re the only one I ever knew and simply because you were in those awesome nude photos in Vegas. And I literally said to myself, ‘This guy’s a party!’”
Prince Harry replied: “You’re constantly looking for other people to sort of balance out your own behaviour, right?”
Speaking on the pictures, which were leaked to the press in 2012, Prince Harry said they had been taken a few weeks before he went on tour to Afghanistan.
Shepard explained that he had been surprised to learn in 2007 that Prince Harry was serving in the army.
“I remember thinking ‘oh wow they send princes into battle?’ That is not what I thought happened,” he added.
“So much for keeping it quiet,” Harry joked, adding: “At least I wasn’t running down the Strip, stripping or naked.”
On the topic of mental health issues, Prince Harry said that being told he needed help while he was struggling made him feel as though he was “unwell”.
“Rule number one is, when you feel as though someone needs help, don’t tell them that to their face,” he said.
“Telling someone they need help is more likely to make them say, ‘no I don’t’ and delay and run away – or go and drink or take drugs or whatever,” he added, before Shepard cut in.
“Take your clothes off in Vegas,” Shepard said.
Laughing off the reference, Prince Harry continued: “Whoever we are, wherever we come from, we always try and find some way to mask the actual feeling and to try and make ourselves feel differently.
“That was a huge part to the beginning of my life – I said there was nothing wrong with me and I was fine.”