Kensington Palace confirmed on Monday that Meghan and Harry were expecting their first child in the United Kingdom spring, which runs from March 20 to June 21.
The duke, who served in the Army for 10 years, founded the Invictus Games in 2014 with the aim of helping wounded service personnel and veterans with their physical and psychological rehabilitation.
Prior to attending the Invictus' opening night program, the royal couple made a visit to the famous open-air venue during the day, clad in matching Invictus polos and casual trousers.
Prince Harry sported his full Blues and Royals tropical military dress uniform for the occasion, looking every bit the proud soldier as he met NSW Governor David Hurley and his wife Linda outside the Hyde Park facility. It's your privilege to watch in the stands or with your friends and families around the television.
The day before, Harry made an impressive Sydney Harbour Bridge climb to fly the Invictus Games flag to officially kick off the event.
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A spokesman said: "After a busy programme, The Duke and Duchess have chose to cut back The Duchess's schedule slightly for the next couple of days, ahead of the final week-and-a-half of the tour".
Meanwhile, Prince Harry was dressed in a black shirt Invictus Games and grey trousers.
"We've been given a long list of names from everyone, we're going to sit down and have a look at them", Meghan told a young fan during a stop in Melbourne, according to People.
"They have reminded us all what selfless duty really looks like".
The Duke of Sussex was without his wife Meghan as he presented medals to Invictus athletes on the sixth day of his visit to Australia.
The Duchess also added that it was still too early to make an official baby name decision.
Harry and Meghan are understood to have considered emulating the approach of the Princess Royal and "follow the Zara and Peter Phillips..."