Harry and his wife Meghan have raised the issue several times during their Australian tour and on Friday they took part in a group session with surfers on Bondi Beach.

OneWave founders Grant Trebilco and Sam Schumacher welcomed the couple to their weekly "anti-bad vibe circle" on the beach.

The Duke, talking animatedly, spoke to them of his charity Heads Together, the time punctuated with laughter and applause from those in the group.

"They're super passionate about mental health.They are showing that mental health does not discriminate," Mr Trebilco said.

"They're saving lives talking about it."

Harry told the group that mental health doesn't discriminate.

"Harry said each and everyone of us will experience poor mental health at some stage in our lives," Charlotte Connell told AAP.

"Harry said it took him not six months, but 18 months to find the right person to speak to; you're not going to find the right person to speak to straight away.'"

Ms Connell said both Harry and Meghan used exercise as a way of keeping well.

"Even in her jetlagged state she got up in the morning and did yoga at 4.30am," she said.

"She said it's so good for healing her mind."

Ms Connell, who is 23 weeks pregnant, told Meghan being pregnant felt like being jetlagged without the travel.

"So for her to be jetlagged and pregnant must be pretty exhausting." Meghan agreed.

Prince Harry has become known for his mental health advocacy and founded the charity Heads Together with his brother and sister-in-law, the Duke and Duchess of Cambridge in 2016.

In recent years he has opened up about own struggles following the death of his mother, Princess Diana, in 1997 when he was just 12.

The normally cool crowd at Bondi beach were caught royal fever on Friday.

Meghan wore a beach-appropriate olive striped maxi-dress by Martin Grant and heeled wedges, while Harry wore chinos and a blue shirt.

As soon as she hit the sand, Meghan and Harry took off the shoes. It was a stark contrast to the time her sister-in-law Catherine kept her shoes on while visiting Manly beach.

Bondi 'mermaid' Lizmania, accompanied by her dog Tipseatoes, was dressed in neon pink to mark the event.

"I'm here to give them both a hug and spread the love, it's a day for love," Lizmania told AAP.

The couple also met members of the public gathered at the popular eastern Sydney beach for a 20-minute walkabout before heading off.

Mia Freeman, 12, and Emma Hartwig, 11, from nearby St Catherine's School, were lucky enough to meet them.

"It is so great to meet them, she is really pretty."

They have several more engagements in Sydney on Friday.

Harry will climb the Harbour Bridge with Prime Minister Scott Morrison to raise the Invictus Games flag - major reason for the royal visit.

Prince Harry's Invictus Games brings together wounded and ill veterans from 18 countries for a Paralympic-style competition featuring 11 adaptive sports ranging from wheelchair rugby to swimming and athletics events.

They start on Saturday.

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Australian Associated Press