The Duke of Sussex - who relocated to the US after he and his wife Meghan, stood down as working British royals in 2020 - made the joke as he gave a speech in honour of the "deeply personal" relationship between Britain and the US at a networking event in Los Angeles.
In reference to Downton Abbey creator Julian Fellowes, who was honoured at the prestigious event, Harry said: "People sometimes ask if growing up with the royal family was a bit like Julian's Downton Abbey.
"Yeah, but only one of those worlds is filled with drama, intrigue, elaborate dinners, marriages to Americans - and the other is a TV show."
Harry also took a subtle swipe at US President Donald Trump's immigration policies as he discussed British football supporters travelling to the US for the World Cup.
"Next year, we are all welcoming many more fellow Brits from across the pond, provided they behave, and that they make it through customs, past ICE (US Immigration and Customs Enforcement)," he joked.
"The World Cup is coming to the US ... both England and Scotland have qualified - it's a Christmas miracle!"
He also noted that Northern Ireland and Wales could still qualify.
"And wouldn't that be something for the great American brewers of Budweiser, Coors and Samuel Adams to celebrate. The British are coming, hungry for victory, and they're thirsty.
"And back in the UK we've recently found out that pubs might stay open until 1am. What could possibly go wrong?"
However, on a more serious message, Harry explained the partnership between the UK and US was "deeply personal to me", saying the special relationship was more than "just a diplomatic phrase".
"Not only because my family and my life are here today, but because of the extraordinary American servicemen and women I've had the honour of serving alongside in Afghanistan.
"Our two nations' bond rests on centuries of friendship, shared values, innovation and mutual prosperity," he said.
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