"Everybody has mental health, and we shouldn't be ashamed of it".
It comes after Prince Harry said he had counselling over their mother's death.
The London Marathon has made the Duke and Duchess of Cambridge and Harry's mental health campaign Heads Together its official charity, and, when he cut the ribbon to launch the Expo - five-year-old Mellisa Howse, whose father Tony Howse is running on Sunday, was on hand to help.
Prince William also praised Lady Gaga for her open letter, saying it was "brave" of her "to write down such personal feelings".
From Lady Gaga's kitchen and the Duke of Cambridge's Kensington living room, the two agreed that they would meet up in the United Kingdom this October to continue their work towards ending the stigma that continues to surround mental health, Lady Gaga saying "we have to make the strongest, most relentless attempt we can to normalise mental health issues".
Asked by Prince William how it felt for her to speak out about her diagnosis for the first time, she admitted to being "very nervous", and gave fans more insight into the crippling pain she had to overcome. "You feel like something's wrong with you", she explained. For me, waking up every day and feeling sad and going on stage is something that is very hard to describe.
"But you can't help it if in the morning when you wake up and you are so exhausted, you are so sad, you are so full of anxiety and the shakes that you can barely think. but, it was like saying, "This is a part of me".
"I still have shock within me - people say it can't last that long but it does", he said in the Mind Over Marathon documentary, which airs on Thursday. "It's really important to have this conversation and that you won't be judged. Once you start rationalizing a little bit and you understand, 'Okay, so I'm a little angry or a little down or a little upset about something, ' then you can kind of relativize it and sort of deal with it". "It's so important to break open that fear and that taboo, that is only going to lead to more problems down the line".
Gaga concludes: "We're not hiding anymore".
"You're not alone", Gaga says at the end of the video.