"The military was a part of his upbringing and his life," a palace insider previously told PEOPLE

Prince Harry may be leaving his royal role, but he’s not forgetting about one of his key causes: veterans.

Queen Elizabeth‘s grandson, 35, spoke directly to fellow veterans at the annual Endeavour Fund Awards on Thursday evening in a heartfelt speech.

“I feel incredibly lucky to be able to count myself as one of you, and I’m deeply proud to have served among you as Captain Wales,” he said. “A lot of you tonight have told me you have my back. Well, I’m also here to tell you, I’ve always got yours.”

It was previously announced that Harry will retain the ranks of Major, Lieutenant Commander and Squadron Leader during a 12-month trial period following his and Meghan Markle‘s step down from their roles as senior members of the royal family. However, his honorary military positions will not be used. No new appointments will be made to fill these roles before the 12-month review of the new arrangements is completed.

“The military was a part of his upbringing and his life. He brought a lot to those guys and understood things. It is sad,” a palace insider previously told PEOPLE.

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Prince Harry, Duke of Sussex
Prince Harry
| Credit: Paul Edwards - WPA Pool/Getty
Meghan, Duchess of Sussex and Prince Harry, Duke of Sussex
| Credit: Meghan Markle and Prince Harry

In January, Prince Harry addressed the “great sadness” that came with his decision to step away from royal life.

“Our hope was to continue serving the Queen, the commonwealth, and my military associations, but without public funding. Unfortunately, that wasn’t possible. I’ve accepted this, knowing that it doesn’t change who I am or how committed I am. But I hope that helps you understand what it had to come to, that I would step my family back from all I have ever known, to take a step forward into what I hope can be a more peaceful life,” he said.

Prince Harry, Duke of Sussex and Meghan, Duchess of Sussex
Prince Harry and Meghan Markle
| Credit: DANIEL LEAL-OLIVAS/AFP via Getty

The Endeavour Fund was founded in 2012 with the support of Harry, Prince William and Kate Middleton through The Royal Foundation. The awards align with Prince Harry’s other initiatives to help veterans and service members, including the Invictus Games.

Prince Harry

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Thursday’s outing marked the first official joint outing since the Duchess of Sussex’s return to the U.K.

Meghan and Harry first attended the Endeavour Fund Awards together back in 2018. The annual event honors veterans and servicemen and women who have achieved extraordinary milestones in their recovery from injury by taking part in sporting and adventure challenges over the past year.