Accompanied by Prince Harry - who was on hand to stand as godfather for his cousin's nine-month-old child - the Duchess of Sussex looked sensational despite the dreary drizzle in a maroon vintage Dior coat with black oversized buttons.
The 37-year-old mum-to-be carried an on-trend box bag by her go-to designer Victoria Beckham and topped the look with a kitsch navy beret by Stephen Jones, according to Harper's Bazaar.
The Sussexes didn't let the rain dampen their mood as they celebrated with other royals including Queen Elizabeth and Zara's mother Anne, Princess Royal.
Zara's husband former rugby pro Mike Tindall was also seen carrying his infant daughter from the ceremony.
Noticeably absent from the ceremony were Prince William and Kate Middleton, as well as Prince Charles and the Duchess of Cornwall.
Little Lena Elizabeth, who follows five-year-old Mia Grace as the couple's second daughter, is the Queen's seventh grandchild.
Harry and Meghan's royal firstborn, reportedly due at some time in April, will be the eighth.
Royal experts have been busy predicting the name of Baby Sussex, with Alice and Alexandra standing as strong contenders for a girl and Alexander and Albert front runners for a boy.