William, who holds the title of Prince of Wales following the ascension of his father to King, was seen sending off the England football team before the World Cup in Qatar.
During a visit to the Senedd Chamber in Cardiff, William defended his loyalties: "I’m telling everyone I’m supporting both, definitely. I can’t lose."
The heir to the throne added: "I’ve supported England since I’ve been quite small, but I support Welsh rugby and that’s my kind of way of doing it. I happily support Wales over England in the rugby."
William also said: "I’ve got to be able to play carefully with my affiliations because I worry otherwise if I suddenly drop England to support Wales then that doesn’t look right for the sport either. So I can’t do that."
Sheen, had earlier criticised the Royal for presenting the England football team with their shirts before departing for the World Cup.
The Welsh actor wrote on Twitter: "He can, of course, support whoever he likes and as Pres of FA his role makes visit understandable – but surely he sees holding the title Prince of Wales at same time is entirely inappropriate? Not a shred of embarrassment? Or sensitivity to the problem here?"
William also reiterated his desire to see England play Wales in the final of the tournament on 18 December though both will play each other on 29 November as they are in the same group.
It is Wales' first World Cup since 1958 and the group will also feature Iran and the United States. Back in 1958, Wales reached the quarter finals before losing to Brazil with a 17-year-old Pele scoring the winning goal.
Watch below: Prince William visits the Welsh Parliament.