At the BBQ, the fifth-in-line to the throne chatted to sports stars with their friends and family, and discussed their personal struggles with mental health and wellbeing and how important it is to have a supportive network.
Guests including Rio Ferdinand, Dame Kelly Holmes and Victoria Pendleton attended the BBQ and spent time speaking to the Prince about the importance of being open about mental health, and Prince Harry then said a few words about the importance of the campaign.
He explained: "If you can improve your own well-being and everyone else's around you as well, and get your mind as strong as your body, imagine what we could achieve."
The 31-year-old then joined in with a lively game of French Cricket before joining Olympic sprinter Iwan Thomas to serve up burgers to the guests.
Prince Harry is passionate about charity work, and has worked with his brother and sister-in-law to encourage people to discuss mental health for the Heads Together campaign. He's also been raising awareness of AIDS recently by encouraging people to get check-ups for the disease, and spoke about the importance of removing the disease's stigma at the International AIDS conference earlier this week.
He spoke about his mother, Diana, Princess of Wales, saying: "she started very punchy [on AIDS]. She smashed the stigma around HIV on more than one occasion. It had a huge impact, and a huge impact on my life as well.
"When my mother held the hand of a man dying of AIDS in an East London hospital, no one would have imagined that just over a quarter of a century later treatment would exist that could see HIV-positive people live full, healthy, loving lives.
"But thanks to the work of leaders in the fight against HIV – people like Nelson Mandela, Sir Elton John, the brave activists of TAG and ACT UP, people like Dr Peter Piot, and like my mother, Princess Diana – we have made huge progress."