Story highlights The video is part of Prince William's Heads Together campaign

Lady Gaga shared how she lives with PTSD, anxiety

(CNN) It was a FaceTime call. Like old time friends, Lady Gaga and Prince William opened up about mental health.

In a video released Tuesday, the pop star joined the Duke of Cambridge's Heads Together, a campaign he leads along with the Duchess and Prince Harry to raise awareness on mental illness.

The stigmas or just plain fear, they said, stops many from opening up about their feelings.

"There's a lot of shame attached to mental illness. You feel like something it's wrong with you," Lady Gaga said from her kitchen in Los Angeles.

The video, posted on the Royal Family's Facebook page, is the newest film in the #oktosay series, which shows people from all walks of life discussing their own mental health challenges.

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