The Queen spoke with grieving people who had been queuing for up to 12 hours to enter the Palace, while the Duke of Edinburgh crossed the road to speak to hundreds of people who had gathered there.
Mrs Kay Foulger, 55, from Cumbernauld, near Glasgow, said she had travelled to London with husband Gordon especially to pay her respects to Diana.
She said: "I told the Queen, `Ma'am, it is very brave of you to come here and see us'. You could see she was bearing up but that she had been upset and had had a good weep.
"I think she has been a bit isolated so far and she could have put a statement out earlier, but I hope she has made up for that now.
"I hope it hasn't been too much of a strain for her.
Angela Powell, 24, from Swansea, said the Queen told her it was "wonderful" to see so many flowers.
"But the Queen was very slow to talk and said she was very sad," said Ms Powell.
It was perhaps an anxious moment for the Royal couple, facing a large crowd for the first time since the tragic death of the Princess.
"There were tears in her eyes," said Enid Jones, from Brighton. "My granddaughter gave her some flowers and the Queen was really pleased. She nearly didn't take them and asked if they were really for her," said Mrs Jones.
"We said we thought she needed some. People say they don't care - but they were both obviously filling up with tears."
Kate Foulkes, 10, from Fleet in Hampshire, offered Prince Philip a bunch of flowers - but he refused to take them and asked her to find a spot where she could lay them in remembrance of Diana.
Charlie Hurst, 20, from Rugeley, Staffordshire, said the Queen told him she had been looking after Prince William and Prince Harry. "I think it's quite brave of her to come here to face the crowd after the criticism she's had," he said.
Mourners who spoke to the Queen outside St James's Palace said she seemed very distressed and apologised to them for staying in Balmoral so long.
Joelle Fowler, 43, from Croydon, said: "She asked us if we had been standing there long, and we told her we had been there all night.
"She told us that she appreciated us coming and said that however many books of condolence were made available, there would still be queues.
Earlier, The Prince of Wales and Princes William and Harry, spoke to people outside Kensington Palace. Clearly upset, Prince Harry placed flowers himself on behalf of people in the crowd who were held back by police barriers.
Gillian Pitcher, 58, from Sutton, Surrey,managed to say a few words to the princes. She said: "I said to the two boys `God bless you both. Your mother will live forever, William, because you are so like her - and Harry.' They just said `Thank you' and continued shaking hands with people."