The clip, in support of the Duke of Cambridge's Heads Together campaign which he leads alongside Kate Middleton and Prince Harry, features the unlikely pair sharing a FaceTime call from their respective homes in Los Angeles and London.
Released across the Royal Family's social media accounts, the video is the latest addition in the #okaytosay series which features people discussing their battles with mental illness.
"It's time that everyone speaks up and really feels very normal about mental health, it's the same as physical health. Everybody has mental health and we shouldn't be ashamed of it and just having a conversation with a friend or family member can really make such a difference," William says.
"For me waking up every day feeling sad and going on stage is just very hard to describe," Gaga shared. "There's a lot of shame attached to mental illness, you feel like something's wrong with you. And in my life I go 'Oh my goodness, look at all these beautiful and wonderful things that I have, and I should be so happy.'"
"But you can't help it if in the morning when you wake up, you are so tired, you are so sad and you are so full of anxiety and the shakes that you can barely think," she continued. "But it was like saying 'this is a part of me, and that's okay.'"
The duo also announced plans to continue working together including a meeting set for October in the U.K.
The video comes after Harry revealed that he had previously sought counseling four years ago after "shutting down all of my emotions" for almost two decades after the death of his mother Diana, Princess of Wales.