The 35-year-old actress from hit US television series 'Suits' was pictured shopping on Kensington High Street yesterday before walking back towards the palace nearby, according to UK media reports.
She has reportedly taken time out from her shooting schedule to spend time with the prince before he leaves for a tour of the Caribbean on behalf of his grandmother, Queen Elizabeth II.
Earlier this week the 32-year-old, fifth in line to the British throne, had finally confirmed that he has been in a relationship with the divorcee for "a few months".
The statement issued by Prince's Harry communications secretary read: "Prince Harry is worried about Markle's safety and is deeply disappointed that he has not been able to protect her.
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"It is not right that a few months into a relationship with him that Ms Markle should be subjected to such a storm.
"He knows commentators will say this is 'the price she has to pay' and that 'this is all part of the game'. He strongly disagrees. This is not a game - it is her life and his."