Princess Diana feared the Royal Family would kill her while her sons were not present, her inquest has heard.
Ms Henning contacted Mohamed Al Fayed about the conversation
She told Dodi Al Fayed she would be killed in an accident, but stressed that Princes William and Harry "would never be harmed", it was said.
Dodi's US assistant, Melissa Henning, said these were Diana's thoughts just weeks before the couple died in a Paris car crash in August 1997.
The couple "deeply" believed this was a possibility, Ms Henning said.
She said she thought the claims were a "little far-fetched" at first.
Ms Henning heard Dodi's fears over a dinner in August, shortly before their deaths, she said.
Speaking via videolink from the US, she said: "He told me that Diana was very concerned for her personal safety. They had discussed this several times.
"She had felt the Royal Family did not want her around any more.
"She thought they felt she was a threat to them and they would prefer not to have her around.
"She felt it would be an accident and it would only happen when the boys were not with her because the boys would never be harmed."
Ms Henning said she was sceptical, adding: "She was such a public person that I felt it would be a very difficult thing to accomplish."
She contacted Mohamed Al Fayed about the conversation following the crash, the court heard.
Ms Henning told the jury it did not occur to her to contact the British or French authorities as she had no idea if it was "significant."