The footage was shared by royal fan account @harry_meghan_updates on Instagram.
The 37-year-old former actress was also heard praising dad-to-be Harry, "He’s going to be the best dad."
It is believed the former actress is due to give birth at the end of April to early May, after she told one well wisher at an event in January that she was six months along.
The 37-year-old is showing no signs of slowing down, as the royal couple attended the Endeavour Fund Awards on Thursday night and recently announced plans to visit Morocco from Feb. 23 through the 25.