This is guesswork based on various quotes and reports I've read from time to time, but I think Harry took it the hardest when he lost his beloved Mom. I think he was carrying a bit of a grievance over the way he thought she was treated by his father and by the Royals in general.
I'm not saying it was a conscious decision to get back at them by marrying this horrible woman but I think there was a tiny bit of retaliation that fueled the union.
Meghan will cause trouble for the Royals for years to come, but, unfortunately, Harry will suffer as well. Still, he brought it on himself.