Harry's office said that while the 32-year-old prince understood that there was significant curiosity about his private life, a line had been crossed in terms of media intrusion. Harry said the statement was issued in hopes that media driving the story will "pause."

"Prince Harry is worried about Ms. Markle's safety and is deeply disappointed that he has not been able to protect her," said the statement from Kensington Palace. "It is not right that a few months into a relationship with him that Ms. Markle should be subjected to such a storm."

(Read also: British royal kids make rare appearance in Canada)

The 35-year-old American actress is best known for playing paralegal Rachel Zane in the TV legal drama "Suits." She has also worked with the United Nations on gender equality and is a global ambassador for the charity World Vision Canada.

The palace said the harassment has "been very public — the smear on the front page of a national newspaper; the racial undertones of comment pieces; and the outright sexism and racism of social media trolls and web article comments."

Harry said he commentators will say this is "the price she has to pay" and that "this is all part of the game."

The palace said that Harry "strongly disagrees."

"This is not a game — it is her life and his," the statement said.

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