Meghan was seen laying flowers outside the premises and both greeted delegates with a traditional Hongi nose rub before signing the condolence book with the words aroha nui', which means 'with deep affection'.
Meghan, who is due to give birth to her first baby next month look radiant in a loose black cape which covered her bump.
The Duke and Duchess met with the staff of the High Commission where they expressed their condolences.
'We are with you', said Meghan adding that she was 'just devastated'.
Harry said: 'it's just very sad.'
'We are overwhelmed by the tremendous amount of support we've received from across the UK,' Sir Jerry said.
'Their Royal Highness's visit is reflective of this outpouring of support and it was wonderful to welcome them to New Zealand House.'