The four-minute video shows the prince sitting at a desk at Kensington Palace, his London home, and talking via a laptop computer screen with Lady Gaga, who is in the kitchen of her home in Los Angeles.
William says it is "time that everyone speaks up and really feels very normal about mental health".
Fresh off the first of two Coachella headlining slots and about to shoot some A Star Is Born scenes on that same stage, Lady Gaga has still found the time to shine a light on an important message about mental health.
She explained during the candid conversation: "There's a lot of shame attached to mental illness".
Lady Gaga, who past year spoke out about her struggles with post-traumatic stress disorder, places the call from her kitchen in California, and William answers at his desk in Kensington Palace.
The 31-year-old joins the likes of rapper Professor Green, comedian Ruby Wax and actor and presenter Stephen Fry who are already part of the Heads Together campaign which hopes to change how mental health issues are perceived.More news: Missed opportunities put pressure on GB to keep Davis Cup hopes alive
"Catherine and I are clear that we want both George and Charlotte to grow up feeling able to talk about their emotions and feelings", William told CALMzine.
Prince Harry is just one of the fewest high profile people in the United Kingdom who talks about his personal issues and mental concerns. Prince William said: "It's so important to break open that fear and that taboo".
In a recent podcast interview, Prince Harry has discusses going to therapy and the effect the loss of his mother, Princess Diana, has had on his mental health. Everybody has mental health. In my life I go "look at all these lovely, wonderful things that I have, I should be so happy".
Last week, Prince Harry opened up about his psychological struggle over the death of his mother.
And for me personally, my brother, you know, bless him, he was a huge support to me. Get HELLO! Canada, PEOPLE, Vanity Fair and over 100 more of the world's best magazines for one low monthly price at Texture by Next Issue.
Harry's interview and the Gaga-William video are part of a week's worth of concerted campaigning from the royals about mental health leading up to the London Marathon this Sunday.