How Meghan Markle Comforted Prince Harry During His Most 'Emotional' Moment Ahead of Royal Exit

Meghan Markle and Prince Harry's last days as senior royals brought a mix of emotions. And there were some moments that were especially tough for Harry.

When the couple attended a tribute to Britain's armed forces on March 7, Harry put on his red military uniform -which represents his role as Captain General of the Royal Marines-for the last time.

"That was very emotional for him," a source tells PEOPLE in this week's cover story.

After serving in the Army for 10 years, rising to the rank of Captain and undertaking two tours of Afghanistan, his honorary military positions will be suspended following his royal exit. However, he'll continue to support service members through his Invictus Games and other charity work.

"That's 10 years of his life that he gave to serve his country, and he basically has to give it away now because he's choosing to protect his family," the source adds.

G.I. Jane screenwriter Danielle Alexandra, who met the couple at the Endeavour Fund Awards on March 5, says, "I was very moved when Harry said he knew the soldiers had his back, and that he would always have theirs."

Of course, Meghan and Harry also have each other's backs. When the couple received a standing ovation as they took their seats at the ceremony at Royal Albert Hall, "It was really an incredible moment," the source says. "It meant a lot to Harry."

Meghan kept a tight grip on her husband's hand throughout the event.

"Deep down they are truly in love with each other, and what you see is truly who they are," the source continues.

Another source says that Harry started telling friends last fall that he wanted a fresh start, and that he needed to "put his wife and son first, and that it had been really hard," says one pal. "He is obviously very devoted to her."

While the family has been spending time in Canada, they have their sights set on California next.

"This is what Meghan and Harry have always wanted to create their own life," says the source. "It's got to feel like an immense relief to get out of the U.K. and go down their own path."