He was linked to Pia Haraldsen (step?) niece of queen Sonja in 2003 when he was studying at Durham (a degree he never finished at this university, he changed universities quite often and took 6 years to complete a BA) . There was talk about boyfriends as well, especially among the people in Lux, but nothing was confirmed by the family.
Prince Guillaume met Pia Haraldsen at the wedding of Prince Haakon to Mette-Marit in August, 2001. Pia was a great-step-niece of Norway's Queen Sonja. Pia's mother, Jasmin, was married to Sonja's nephew, Karl Otto Haraldsen from the early 1990's to 2005/6. Karl Otto is the son of Sonja's brother, Haakon.
Guillaume and Pia began dating in 2002. They attended Durham University together for their first year of university. Then, Pia transferred to University of London's Goldsmiths College and, at the same time, Guillaume transferred to Brunel University in London. They dated for about two years and broke up sometime during their sophomore year.
Guillaume's decision to attend Durham University was not a typical choice for a hereditary prince. I was shocked when I found out that his girlfriend would be going there as well. I was surprised that his parents would allowed that. Nevertheless, during their time together, there were some nice photos of Gui and Pia strolling around campus looking happy and relaxed, like any other coeds.
After his breakup with Pia in 2004, there was never any mention about other women in his life until his engagement to Stephanie in 2012. That was quite a long stretch and rumors about him being gay began to surface. One circulating story was that he had come out as gay to his classmates at whatever university he was attending at the time.
Guillaume has a good relationship with Mette-Marit and, no doubt, got to know her well spending time in Norway while dating Pia. It has been suggested in the media that Stephanie resembles Pia ... same build and long blond hair, etc. I've always wondered if the break-up was hard on Gui and that is why he didn't date much all those years, if at all.