The brothers, who are both in line for commissions in the British Army, last visited Kensington Palace after Diana's funeral in 1997 to collect personal possessions.
William and Harry attended a private viewing of the last pictures of Diana taken by celebrity snapper Mario Testino for Vanity Fair magazine.
A royal source says, "William and Harry went to see the exhibition privately and thought it was a wonderful tribute to their mother."
Testino consulted Diana's sons over his plans for the exhibition because he didn't want to do anything to upset them.
He says, "Of course, I asked their permission. I feel that even though I took the photographs, it is their mother and it's for them to decide what happens."