Even Kate Middleton, the Duchess of Cambridge, failed to hide her sadness over the fact that he lost his "brother" Prince Harry.

A royal insider reported that when the Duke and Sussexes returned to the U.K, Kate pulled Harry to the side and expressed his sadness when the family-of-three spent their Christmas holidays away from the royal family.

"Kate knew it could be the final opportunity to air her feelings, and she was incredibly emotional," the source said.

The Duchess of Cambridge reportedly went on and told the Duke of Sussex how their lack of communication when they decided to spend time in Canada brought devastation to their lives. It also made them feel like they have shut out of Harry and Meghan's lives.

To recall, before the Sussexes' bombshell announcement, they took a six-week-long break this year, and it included celebrating Thanksgiving and Christmas away from the Sandringham Palace.

Just a few days after they returned to the country, they dropped the shocking news about their departure as senior members of the royal family.

How Their Closeness Broke Kate's Heart

Since 2003, Kate became "the big sister Harry never had." They became so close that before the Sussex and Cambridge couples formed the "Fab Four," the royal family had a trio -- Prince William, Prince Harry, and the Duchess of Cambridge.

But after Harry and Meghan got married in May 2018, things started to crumble down, leading to their relationship reportedly having broken and falling apart.

So when the palace lost Harry, Kate felt like she lost a brother, too.

According to Vanity Fair royal correspondent Katie Nicholl, a source revealed to her that the mother of three underwent a difficult time accepting their parting from the Sussexes.

"It use to be just her, Prince William and Prince Harry as a "happy trio" and now she [Kate] is very sad by how everything has turned out," the source said after the Sussexes attended their final royal engagement at the Commonwealth Day Service at Westminster Abbey on March 9

"To be honest, I think Kate has taken it all badly," the insider went on,

The past few months indeed were not easy for anyone, and it made Kate even sadder now that they need to go on without Harry and Meghan.

In fact, an insider told Us Weekly that the Duchess did not see Megxit coming. So when she found out about it, she experienced panic and even had bouts of anxiety.

Also, following the emotional farewell, Kate is said to be afraid that she might never be able to be close to him again, most especially when she has not been able to reconnect with Meghan, as well.

Meanwhile, another source shared how Harry and Meghan's new lives away from the royal family is a bittersweet chapter for them.

The source believed that the Duke of Sussex is focused on the future of his family, and he does not intend to go back anymore.

Harry and Meghan will welcome their new lives away from the royal family starting next month.

READ MORE: Royal Warning: 'Ordinary' Prince Harry, Meghan Markle Could Kill The Monarchy