The Duke of Sussex made the revelation on Dax Shepard's "Armchair Expert" podcast when Dax asked if he'd ever been able to do any mundane things ... like going to the supermarket. His answer was yes, but he had to go way back to 2016 when Meghan first stayed at Kensington Palace.

He said, "The first time Meghan and I met up for her to come and stay with me, we met up in a supermarket in London, pretending we didn't know each other, texting each other from the other side of the aisles. There's people looking at me, giving me all these weird looks and coming up to me and saying hi."

He didn't reveal which supermarket ... but there's a Whole Foods a mere 100 yards away from the Palace. Harry said he stayed in such true "incognito" character ... he wore a baseball cap and kept looking down to avoid being recognized. Obviously, he needs better costumes, since people were spotting him.

But, since leaving his Royal duties and moving to L.A. ... Harry says he feels free. And, he feels like he can walk with his head held high. He compared living the Royal life between a mix of being on "The Truman Show" and living in a zoo with all eyes on him.

Harry chatted about a ton of other subjects ... including Joe Rogan's recent controversial remarks about the vaccine. The Prince called out Joe for initially saying healthy, young people don't need the vaxx.

Joe, of course, later called himself a "f***ing moron" for the remark but that didn't stop Harry from ripping Joe and essentially telling him to stay in his lane because "if you have a platform, with a platform comes responsibility."