He wouldn't have chosen this life for her. He wouldn't have chosen it for anybody really. But seeing her now, like this, he wishes he could take it all back. He wishes he could have stopped Rhaegar from doing it all. Even so he chose this path and now he must live with the guilt. Everytime he looks at her, that's all he feels.
Guilt.
After the guilt has passed, another emotion starts to creep up on him. Anger. Some small part of him can't help it. This young girl, woman now he supposed, had her own part in all this. She chose to leave her home. She chose to run away with the prince. He had been there that night and had watched as she ran from her brother's arms and into Rhaegar's. Even then he had wished to tell both of them how foolish this plan of theirs was. He had thought it was his loyalty to the prince that made him keep his mouth shut.
But now as Arthur drifted into the past, was it loyalty or fear that held him back? He didn't know the answer to the question that had plagued him for months now. He didn't know anything stuck in this damned desert. Was Rhaegar even alive? A part deep down, buried under his love for the man that had been the closest thing he had to a brother, hoped so. It would be easier for the girl. Lyanna
After it had seemed clear that the prince was on the losing side, Arthur told Lady Lyanna that they would be setting sail soon. They couldn't stay for much longer. It was unsafe for her . . . and the baby. He didn't think he'd ever seen her that happy before. Her months upon months of isolation would soon come to an end. She had hugged him after he told her, and for a brief moment her excitement had spread to him. But he soon remembered that road before them would not be an easy one. If they didn't leave soon, people would come looking for them. More specially, they would be looking for her.
She tells Arthur how excited she is to be leaving, to set sail across the sea, and to get Jon to safety. It's the most she has talked to him in weeks. Even longer probably. Ever since news of her brother came, she had little to say to anyone. Silence had encased him after his brothers in arms had returned to Rhaegar's side on the battlefield. When the prince had told him he would be staying behind, he had been enraged. He knew he was by far the best fighter. He and Dawn had never lost a battle, and he was being left behind to babysit. The Whitecloaks had laughed in jest when he had voiced that thought to the prince. As his fellow knights laughed beside him, Rhaegar had given him a rare smile and took him aside. Rhaegar stated in a cryptic tone Arthur had only heard when the prince talked of prophecies, "Lady Lyanna is more important than you realize. I trust you like a brother, I need you here with her, Arthur."
And again Arthur had to ask himself was it loyalty or fear that kept him from disagreeing with his prince.