The couple wore matching red outfits for the Mountbatten Festival of Music at the Royal Albert Hall.
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They will step back from royal duties at the end of the month.
Prince Harry appeared in a Royal Marines officer's mess jacket while Meghan wore a designer dress.
The Albert Hall performance marks the 75th anniversary of the end of World War Two and the 80th anniversary of the formation of Britain's Commandos.
On Thursday, Prince Harry and Meghan made their first official appearance together after announcing their intention to step back as senior royals in January.
A spokesperson for the couple has previously said they intend to split their time between the UK and North America. BBC
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Prince Harry and Meghan