Breaking News: Prince Harry Reveals His ‘Challenging’ Conversation with Archie and Lilibet: I’m ‘Opening Pandora’s Box’….see more

Prince Harry is embracing the difficult conversations he’s having with his children, Prince Archie and princess Lilibet about the circumstances that led veterans to the Invictus Games.

“They are fascinated,” Prince Harry, 40, tells PEOPLE about the Invictus stories he shares with Archie, 5, and Lilibet, 3, whom he shares with wife Meghan Markle.

“It’s a very interesting conversation to have with your kids — to explain why that person is missing a leg, why that person is missing an arm, why do they look the way they do. It’s challenging but important.”

“Our kids are still so young, but Archie, especially, is asking those questions,” Harry, a former captain in the British Army, says of his son. “As any parent knows, once you open that door and those questions are asked, or that conversation starts, more and more doors start opening.”

“And then he starts asking, ‘How did they get injured? What’s a mine? What’s all this?’ It becomes opening Pandora’s box, to some extent, especially with kids this age, because they have no filter, and they’re just so curious and so inquisitive!” the Duke of Sussex says. “They want to know more, more, more.”