In the best-selling memoir, which is out now, he writes candidly about their seven-year romance and how he harboured "jealousy" after their break-up.
Here is everything you need to know about Davy.
Who is Chelsy Davy?
Chelsea Davy is a 37-year-old Zimbabwean businesswoman who runs a jewellery brand and a travel company.
Her father, Charles, is a millionaire safari operator and her mother, Beverley, is a former model.
Her family left Zimbabwe when she was 14, amid political and economic unrest in the country, and moved to England.
Davy attended school at Cheltenham College, then Stowe for sixth form as a boarder. She first met Prince Harry at the Berkshire Polo Club around this time.
Following her A-levels, she studied philosophy, politics and economics at the University of Cape Town, then did a postgraduate degree in law at the University of Leeds.
Prince Harry and Chelsy Davy's relationship
Harry began a relationship with Davy, who he affectionally calls 'Chels', in early 2004.
While in Africa on his gap year, the royal invited her to a barbecue in Cape Town for their first date, and then on a trip to Botswana, where they shared their first kiss.
In Spare, the Duke of Sussex writes that she "seemed wholly unconcerned with appearances, with propriety, with royalty" and knew "less than nothing" about his family.
He adds: "Unlike so many girls I met, she wasn't visibly fitting herself for a crown the moment she shook my hand... Not only was she uninterested in my title, she seemed bored by it."
Harry also says he "cherished Chels's carefree and authentic spirit" and says her parents were "impossible not to like".
But he highlights her unease with the press intrusion into their relationship, and says he worried that the media would "would cost me another person I cared about".
He also admits he "couldn't help worrying" about how the general public and the Queen perceived Davy.
Why did they break up?
Harry and Davy's on-off relationship was highly publicised, but the pair split for good in 2011.
Davy attended Prince William's wedding to Kate in that same year. Harry admits it was "hard" seeing her again, as he still had "loads of feelings" towards her.
He writes: "I also felt a certain way about the hungry-looking men trailing after her, circling her, nagging her to dance. Jealousy got the better of me that night, and I told her so, which made me feel worse. And a bit pathetic."
In an interview with The Times in 2017, Davy said the press attention she received was "horrible".
She said: "It was so full-on: crazy and scary and uncomfortable. I found it very difficult when it was bad. I couldn't cope."
Davy appears to be still be on good terms with Harry. In 2018, she attended his wedding to Meghan, as well as Princess Eugenie's wedding to Jack Brooksbank.
She married hotelier Sam Cutmore-Scott last year, and the couple have one son, Leo.
Watch: Prince Harry's memoir Spare is 'fastest-selling non-fiction book ever'