Zimbabwean-born Ms Davy was in an on-off relationship with the prince when she was invited to his brother Prince William’s 2011 wedding to a then-Kate Middleton as his ‘plus one’.
And although Prince Harry may have hoped they could make their five-year relationship work back then, it was there that Chelsy realised a life by the side of a high profile member of the Royal Family wasn’t for her, according to a royal insider.
Writing in royal biography ‘Harry: Conversations with the Prince’, journalist Angela Levin said: “A friend revealed that seeing the enormity and pomp of the day convinced Chelsy that she and Harry had been right to separate.
“Although they had a lot in common, she saw clearly that because they came from such different worlds it could never have worked, especially as she valued her privacy and guarded it so carefully.”
Nevertheless it was Ms Davy who Prince Harry turned to as he prepared for his best man speech ahead of the big day, despite her being thousands of miles away in South Africa.
Ms Levin added: “Harry had read it out at first over the phone to Chelsy in South Africa, who despite no longer being his steady girlfriend, has also been invited to the wedding.
“She suggested he remove some of the racier anecdotes, including a reference to Kate’s ‘killer legs’, as she didn’t think the Queen would take kindly to laddish humour.”
The Zimbabwean lawyer and entrepreneur started dating Prince Harry in early 2004 and remained seeing each other on and off until 2010.
But the pair still remain friends and Ms Davy, 32, attended Prince Harry’s Royal Wedding to Meghan Markle back in May.
Ms Davy previously opened up about her life under the spotlight as Prince Harry’s girlfriend in a candid interview with The Times in 2016.
She said: “It was so full-on.
“Crazy and scary and uncomfortable.
“I found it very difficult when it was bad.
“I couldn’t cope.
“I was trying to be a normal kid, and it was horrible.”
Meanwhile, before he met US actress Meghan, Harry opened up about how he suffered “ massive paranoia” when talking to the opposite sex.
He previously told an American TV channel: “Even if I talk to a girl, that person is then suddenly my wife and people go knocking on her door.
“If or when I do find a girlfriend, I will do my utmost to ensure that me and her can get to the point where we’re comfortable before the massive invasion that is inevitably going to happen into her privacy.”
And that’s exactly what the Duke of Sussex managed to do – as he kept his blossoming romance with his now wife, Meghan, secret for six months before it went public.