The 47-year-old Underworld actor lost her father – Porridge star Richard Beckinsale, who died of a heart attack in his sleep aged just 31 – when she was just five years old.
She said when the young princes' mother Princess Diana died in 1997 she felt she knew what they were going through.
Beckinsale told Dax Shepard's Armchair Expert podcast: "I remember when their mother died, I was in New York, and seeing them in the context of other people sort of grieving for somebody they didn't know… I thought, 'Oh my God, I really know what that feels like.' A cataclysmic event like that puts everything into a real sharp focus."
She added that it was strange to "share" her loss with strangers as her father was famous, saying: "It was hard at the very, very beginning because it did feel like you were having this very personal, horrible crisis – and so was everybody else, but you didn't know them."
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Prince William was 15 when Diana was killed in a car crash in Paris in 1997, while his brother Harry was 12.
Widow star Beckinsale also confessed she had felt her own personal grief was not taken seriously as she was so young.
She said: "People would talk about how terrible they felt that they had lost him, but then say, 'Oh, but you probably don't remember anything, do you, because you were a child.' That would really upset me as a child. I found that really difficult.
"But then the person you're sharing it with is saying, 'You have less right to this than I do,' which is really odd.
"I found that, as I'm older, I'm less offended by it. There is something incredibly special and comforting about how much other people loved him, that, sort of the longer it goes on, [it's] lovely."
The Hollywood star often marks milestones such as anniversaries and Father’s Day with touching posts on social media, and has previously told how her dad's death was a “terrible loss”.
Speaking in 2013, she recalled: “It’s so weird as a five-year-old to look out in the street and see people reading the paper and crying while you’re crying and your mum is crying and your granny’s crying.”
Richard Beckinson played prison inmate Lennie Godber in Porridge, which aired from 1974 to 1977. He also played medical student Alan Moore in the hit sitcom Rising Damp.
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