The couple met in 2004 and their reported breakup marks the end of a five year relationship.
According to the News of the World, the relationship became strained because the pair spent long periods apart.
Davy is studying law at Leeds University in northern England while Prince Harry is training to become a helicopter pilot.
There was no way to verify the report. Royal officials have refused comment and a Facebook page for Davy could not immediately be located.
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