The two were joined by other members of the monarchy, including Markle's soon-to-be brother- and sister in-law, Prince William and Catherine, Duchess of Cambridge, to celebrate Commonwealth Day at Westminster Abbey in London.
In her message this year, the Queen (who is head of the Commonwealth) praised diversity.
Meghan wore a white coat and matching hat and sat next to Prince Harry during the service, directly behind the Queen and her husband Prince Philip.
She had meant to ask her mother Doria to do the honours of accompanying her down the aisle but that didn't go down well with the royal family, the source said. She said she was "Very, very excited". Back in January, the 36-year-old stepped out for a day of engagements with Prince Harry in Cardiff wearing the classic Prince of Wales check in an off-the-shoulder jacket by Theory.
Windsor Castle, west of London, also will be the setting for the wedding of Harry and actress Markle, star of US TV drama Suits, on May 19.
"I hear a lot of people speaking about girls' empowerment and women's empowerment-you will hear people saying they are helping women find their voices", Markle said to the panel's moderator.
Meghan Markle is officially in the royal circle!
William and Harry were seen exchanging a joke as they headed inside, while Meghan kept an eye on heavily pregnant Kate, who's due to give birth in April.