In Anthony Albanese's first Anzac dawn service address as Prime Minister, he paid tribute to the fallen Aboriginal and Torres Strait Islander servicemen who had come before and died without recognition.

Mr Albanese said it was important to honour those who were not acknowledged in the past.

"Yet it must be acknowledged that we have not always honoured those who have fought in our name as well as we should," he said.

"Likewise we must acknowledge the truth that Aboriginal and Torres Strait Islander people who donned the khaki fought harder for Australia than Australia was sometimes willing to fight for them.

"Yet we learn, and we keep taking steps forward together."

According to the Australian Institute of Aboriginal and Torres Strait Islander Studies, thousands of Indigenous people served Australia, or the colonies in what became Australia, as servicemen from the 1860s yet most faced discrimination and were not offered the same benefits offered to other service personnel.

This includes the Waters family, who saw three family members serve with little to no recognition.

Coloured Diggers Anzac Day March guest speaker Donella Waters told the National Indigenous Times her great-grandfather returned from the First World War to continue to face discrimination and prejudice.

"My great-grandfather George Bennett fought in Europe in the First World War. He went to Europe to fight for freedom, but when he came back home, he had no freedom here," she said.

"He never got any recognition for his bravery or anything. After the war he was arrested for being disorderly in public and thrown into jail, and he died in jail alone two days later. He was buried in an unmarked grave and we are still trying to find his grave to give him the respect her deserves."

More than 1,000 Aboriginal and Torres Strait Islander peoples served in the First World War, and more than 4,000 in the Second World War. At least 300 Aboriginal and Torres Strait Islander peoples served in the Vietnam War.