Meghan laughed: "Our first baby gift!"
The royal meet and greet!
Harry founded the Games - which is a Paralympic-style event for soldiers wounded in action.
Kensington Palace said on Monday the Duke and Duchess of Sussex were expecting their first baby in the northern spring.
Earlier today whilst making a speech at Sydney's Admiralty House, Harry publicly gushed about his wife's pregnancy for the first time.
Their first engagement on Tuesday saw them meet Australia's Governor-General Sir Peter Cosgrove and his wife Lynn, Lady Cosgrove.
The visit coincides with the Invictus Games in Sydney, which kick off on Saturday and run for a week.
Interest was at a fever pitch by the time they descended the steps of the iconic Sydney Opera House.More news: Jadon Sancho responds when asked about £100m Tottenham, Liverpool rumour
Speculations about Meghan being pregnant triggered after her mother Doria Ragland was seen taking baby-care classes in Pasadena.
De Groot told news.com.au he was surprised his last-minute plan brought him so close to the royal couple.
The couple later traveled by boat to Taronga Park Zoo where they opened a research center and met two 10-month old koalas that had been named after them.
Prince Harry came up to her and gave her a big hug, remembering his previous meeting with the woman, who was wearing her husband Albert's Victoria Cross.
Harry ditched the tie for the zoo visit, while Megan donned a beige trenchcoat.
After watching an indigenous-themed show by the Bangarra Dance Company at the Opera House, the couple met prominent figures from sports, business, the arts and charities.
Sydneysiders congratulate Prince Harry, Meghan Markle on baby news as they visit Australia.
Hundreds of royal fans are already in place, including Megan Jones from the Central Coast.
"I can't describe it as anything other than an honour for the brand to be recognised by someone who really exemplifies our values and the epitome of modern glamour", she said.
Just hours after Harry and Meghan arrived in Sydney last night, Kensington Palace announced the couple were expecting their first child together.