"Chelsy was quite emotional about it all, she was in tears and almost didn't go to the wedding."
Davy and Bonas were not invited to the evening reception at Frogmore House, however.
"In the end, she went [to the ceremony] and promised Harry she wouldn't try and gatecrash the party," the insider added.
Davy, 32, was Harry's first major relationship. The couple were together on and off for several years, from their first meeting in 2004 to when she was a guest at Prince William and Kate Middleton's wedding.
Davy has previously spoken about struggling with the spotlight while she dated Harry.
"It was so full-on: crazy and scary and uncomfortable. I found it very difficult when it was bad. I couldn't cope," she said, according to Daily Mail.
"I was trying to be a normal kid and it was horrible."