The 27-year-old captain, a helicopter pilot, arrived in Afghanistan Friday, Sky News reported.
Taliban spokesman Zabiullah Mujahid Sunday termed the royal "a high-value target" and said the militants "will make their best efforts to arrest or kill" him.
"Because he is an Apache helicopter pilot, he will target us more," Mujahid said. "If we are not able to arrest him we will target him.
The prince's first tour of duty in the country 4 1/2 years ago was cut short when foreign media blew his cover.
Captain Wales, as he is known in the Army, will complete training in first aid, shooting and improvised explosive device awareness before being sent into combat.