The Taliban have described Prince Harry as "a high value target", saying they will "make their best efforts to arrest or kill" him.
The 27-year-old Army captain arrived in Afghanistan for his second tour of duty on Friday.
Now a fully-qualified Apache helicopter pilot, Captain Wales, as he is known in the Army, will be flying in support of coalition forces on the ground.
Taliban spokesman Zabiullah Mujahid said on Sunday: "Whoever is fighting in our country alongside the US is our enemy and we will attack him.
"Prince Harry came to Afghanistan and he is a high value target for us. We will try to arrest him.
"Because he is an Apache helicopter pilot, he will target us more. If we are not able to arrest him we will target him.
"The Taliban will make their best efforts to arrest or kill Prince Harry," he added.
It is four-and-a-half years since the Prince's first tour of duty, which had to be cut short when foreign media blew his cover.
He was due to complete training courses this week in first aid, shooting and improvised explosive device (IED) awareness, before starting his Apache-specific preparation.
During this phase of training, which starts on Monday, he will climb into the cockpit and begin to familiarise himself with the way the deadly aircraft is configured for the country.
He will not be sent out to take on the Taliban for at least another seven days.