Prince Harry, 36, added, "And the biggest part of this is to create this community of where you can share, that will encourage everybody else to then share their own vulnerabilities within that safe space."
They appeared during the event alongside other A-listers including Justin Bieber, J Balvin, Brene Brown and Blackpink.
Meghan's blue dress was from high-end designer Oscar de la Renta's latest ready-to-wear collection.
The couple announced a multi-year partnership with the audio streaming service in December rumoured to be worth $52.5 million, following their $198m Netflix deal.
It comes after their announcement on Valentine's Day that the duchess was pregnant, with royal insiders predicting Meghan is due mid-year.
It's certainly been a busy news week for the Sussexes, who have sat down with Oprah Winfrey for their first official interview since leaving the royals in March last year.
The 90-minute long TV special for NBC was filmed this week and is due to air on March 7.
It was also revealed at the weekend the pair had informed the Queen they would not be returning to the UK to re-assume royal duties, and would continue their life in the US where they are raising their 1-year-old son, Archie.
"The Duke and Duchess of Sussex have confirmed to Her Majesty The Queen that they will not be returning as working members of The Royal Family," the Palace said in a statement.
It said that after conversations with the Duke, the Queen "has written confirming that in stepping away from the work of the royal family it is not possible to continue with the responsibilities and duties that come with a life of public service."
