The beautiful way Princess Diana helped her grieving best friend.

It was Autumn 1993 when Rosa Monckton told Princess Diana she was pregnant.

The former head of luxury jewellery company Tiffany & Co. and the Princess of Wales were best friends, confidantes.

Diana had separated from Charles, the Prince of Wales, the year before in 1992. She was in her early 30s, “more famous than ever, and trying to find her place in the world,” Channel 7’s Sunday Night heard this evening.

The news of her close friend’s pregnancy was welcome and happy. It was meant to be Monckton’s second child with journalist Dominic Lawson.

But the following Spring, Monckton, 40, had a stillbirth. Princess Diana was the friend she turned to.

"Was it she who suggested burying your baby at Kensington Palace?" Sunday Night's Melissa Doyle asked Monckton.

"Yes, yes it was," Monckton replied. "It was an extraordinary thing to do."

Kensington Palace has been the residence of the British Royal Family since the 17th Century, and lies within Kensington Gardens. Burying a stillborn baby in the grounds was unheard of. Impossible.

"I asked her, 'What are we going to tell the police?' 'How are we going to get through security?'" Diana's butler Paul Burrell told the Channel Seven program.

"She said, 'I'm going to tell the chief inspector that we're going to bury a pet in the garden. Only you, I and Rosa will know it's a baby'."

And that's what they did. The story was kept a secret, as the Princess was afraid people would assume it was her baby.

"We had a very, very moving ceremony. And she gave me a key to the garden," Monckton continued. "She said, 'You come in whenever you want the policeman at the gate will know'. I still have the key."

Monckton went onto have another child, Domenica, who was born with Down syndrome.

"[Diana] just gave me the biggest hug," Monckton said. "She picked Dominica up and said, 'I'm going to be her godmother. Because she's going to need all the help she can get.'"

This was just one of the many stories we heard about the Princess' life in this evening's episode of Sunday Night.

The single mum teaching women to get smart about money. Post continues below.

We heard how the Princess disobeyed the Queen's suggestion to wear gloves when meeting crowds of people, because "Diana didn't know how she could touch people with gloves on".

We watched footage of the Princess taking her two sons, William and Harry, to a theme park after the Queen ordered her divorce from the Prince of Wales.

We heard, again, the story of her death. The paparazzi. That she felt "hunted". The fast car and the 13th pillar in the Parisian tunnel.

Even though we've heard many of these stories many times before, the heartache and the humanity and the glamour and the desperation of Princess Diana's life never fails to captivate.

The story of her burying her best friend's stillborn baby at Kensington Palace is just one more beautiful tale in a too-short lifetime of wonder.