The Duke of Edinburgh, who has been based on the Queen's Sandringham Estate in Norfolk since his retirement in 2017, was not at Buckingham Palace.
Since her ascension to the throne in 1952, Queen Elizabeth II has lived through multiple royal security breaches.
The most famous came in 1982, when 33-year-old unemployed British man Michael Fagan broke into Buckingham Palace and entered the Queen's bedroom.
Fagan spent 10 minutes with the monarch - who, despite lying in bed in her nightie, kept a notoriously cool head throughout the ordeal - before she was rescued by a footman who sounded the alarm.
The London-born father-of-four also wandered barefoot through the Palace corridors, drank Prince Charles' wine and urinated in the food bowls of the Queen's corgis.
Fagan's famous break-in came just two weeks after Princess Diana had given birth to her first child, Prince William.
In a 1993 BBC interview, Fagan highlighted the lack of security saying: "I don't know how the hell I found her [the Queen].
There is a real fear among royal insiders that Wednesday's break-in was a copycat operation of Fagan's.
In 2013, a man was arrested for burglary, trespass and criminal damage when he was caught in one the Palace's state rooms after scaling a 12ft fence, The Telegraph reports.
A spokesman for London Police said: "Officers have arrested a man on suspicion of trespass, contrary to section 128 of the Serious Organised Crime and Police Act 2005.
"The 22-year-old man was arrested at approximately 02:00hrs on Wednesday, 10 July by officers from the Met's Royalty and Specialist Protection Command after he climbed over the front gates at Buckingham Palace.
"The man was not found in possession of any offensive weapons and the incident is not being treated as terrorist-related.
"He remains in custody at a central London police station."
Buckingham Palace declined to comment, but royal insiders said the Queen is aware of the incident.