Meanwhile, Pippa Middleton, the youngest sister of the Duchess of Cambridge, Kate Middleton, welcomed her first child, a boy, with husband James Matthews.
Harry and Meghan then went on to the city's Government House, where they were presented with a display of 150 women showcasing a number of activities, including netball, yoga, boxercise, cricket, cycling and Zumba.
Meghan also received more gifts including small teddy bears.
The couple also brought with them a box of Fortnum & Mason tea, opting for the Royal Blend to match their status.
Some members of the crowd sang Stand By Me - a song the couple chose for their wedding service in May.
"I gave it to her for the nursery", she said.
During a reception at Melbourne's Government House, Meghan was startled when she played with a Formula 1 auto.
Shanghai Masters: Novak Djokovic beats Borna Coric to extend winning run
Djokovic said he felt that the Chinese fans were really behind him and he always liked to come back to Shanghai for this reason. But the Ukrainian's nerves were on display in the long final game of the match, serving a total of three double faults.
"She did pass an AFL football".
You might want to remember Gavin's name - because if his recent creation is anything to go by, this little boy is set to be big in the jewellery game a few years down the track. She did a handball.
The couple had lunch at the social enterprise restaurant Charcoal Lane, prepared by young indigenous chefs.
"I made it with pasta and dipped them in gold paint and threaded the string through", he told news.com.au.