She also said that the campaign put together attractive stories about speaking out about mental health.
William was inspired to get Gaga involved in the campaign after reading an open letter she wrote in 2016, revealing she struggles with post-traumatic stress disorder. In my life, I look at all the lovely things that I have and think "I should b so happy" but you can't help it if you wake up and feel so exhausted and so sad; you have anxiety and you can barely think.
"It's okay to have this conversation".
Prince William and Lady Gaga have teamed up to encourage more people to talk about mental health.
Hear ye, hear ye, all you normal people.
The Prince told Lady Gaga: "I thought it was incredibly moving and very courageous of you to write down such personal feelings".
The singer, who was raped when she was 19 years old, penned an open letter on her website to give others hope and let them know that there "is a chance for recovery".
The pair also made plans to meet when Lady Gaga comes to the United Kingdom in October, and the singer said: "We have to make the strongest, most relentless attempt we can to normalise mental health issues so that people feel like they can come forward".
In the two-part documentary, William speaks to a group of 10 runners living with or affected by different mental health issues, as they prepare for the start of the marathon on Sunday. It showed Lady Gaga taking the call in her home, while Prince William was at his desk in Kensington Palace.
Back in January, Kate Middleton made a speech at a fundraiser for Heads Together, noting why talking to a trusted person can make all the difference when dealing with mental health.
Both of them have been previously vocal about mental health.
"I'm a very big fan of what you've done with Heads Together... it reminded me how much my mental health changing changed my life".
"I can safely say that losing my mum at the age of 12 and therefore shutting down all of my emotions for the last 20 years has had a quite serious effect on not only my personal life but my work as well", Harry told the Telegraph.