Harry 'deeply saddened' by SAS training death of his Afghanistan gunner The royal served with Corporal James Dunby in war-torn Helmand province They became friends when they were in an armoured car crew The pair conducted desert patrols in areas rife with Taliban By Mark Nicol Prince Harry was "deeply saddened" by the death of a third potential SAS recruit - who had served as his gunner in Afghanistan. Corporal James Dunsby, 31, of the Royal Yeomanry, died last week after collapsing on an SAS selection exercise on the Brecon Beacons in soaring temperatures on July 13. Two other soldiers died on the day from suspected heat exhaustion. Prince Harry struck up a close friendship with Cpl Dunsby during his first tour of Helmand province when they were part of a three-man crew of a Spartan armoured car. Prince Harry (second from left) became friends with Corporal James Dunby (right) as they fought together in Afghanistan in 2008 Harry, a junior officer in the Household Cavalry Regiment, acted as commander and Cpl Dunsby was at the controls of the vehicle's General Purpose Machine Gun (GPMG). Harry and Cpl Dunsby worked together in early 2008 as their unit conducted desert patrols and fought fierce battles with the Taliban. The Prince said goodbye to him when he was forced to leave Afghanistan after the international media broke an embargo over his presence there. Last night, a Royal source said Harry was shocked to learn of Cpl Dunsby's death, adding: "This has been very unpleasant news for the Prince. Prince Harry and Cpl Dunsby had a 'shared sense of humour' He remembered Cpl Dunsby as they shared some exciting and harrowing times during their three months together. They got through everything thanks to a shared sense of humour. Cpl Dunsby was Harry's gunner and occasionally his driver. As their regiment was serving in a long-range reconnaissance role, they were very exposed and often found themselves far from British support. Harry was in much greater danger on that tour of Afghanistan than most people realise. A Kensington Palace spokesman confirmed Harry was aware of Cpl Dunsby's death but stressed that it was a "private matter for the Prince." The deaths of Cpl Dunsby and the two other recruits who died on the SAS march - Lance Corporal Craig Roberts, 24, and trooper Eddie Maher, 31 - are the subject of a police investigation. An inquest heard that the cause of the men's deaths was "unascertained" at post-mortem. The Mail on Sunday revealed last week that SAS instructors waited three hours after the recruits were first seen to be in distress before raising the alarm with civilian agencies. This newspaper has also established that when a request was made to the Wales Air Ambulance (WAA) to provide a helicopter, none was available. At just after 4pm on July 13, all three helicopters flown by WAA were engaged in other emergencies. The SAS's request for a helicopter was subsequently patched through to the Great Western Air Ambulance based in Bristol. Whether this delay was a factor in the recruits" deaths forms part of the police investigation. An MOD spokesman said: "The Army is co-operating fully with this investigation. It would be inappropriate to comment further until it is complete. Speculation about this incident is wrong and distressing for the families. Corporal James Dunsby, a member of the Army Reserves, died after falling ill during SAS selection training in the Brecon Beacons Prince Harry was an Apache Helicopter Pilot/Gunner with 662 Sqd Army Air Corps in 2012