Prince William and wife Kate Middleton were also spotted leaving Kensington Palace for Windsor ahead of the rehearsals.
Just hours before the rehearsal, Meghan made a rare statement explaining that her father, Thomas Markle Sr, will no longer be attending her nuptials.
The statement read: "Sadly, my father will not be attending our wedding. I have always cared for my father and hope he can be given the space he needs to focus on his health.
"I would like to thank everyone who has offered generous messages of support. Please know how much Harry and I look forward to sharing our special day with you on Saturday."
The official announcement comes after Meghan's father, Thomas, suffered a heart attack and underwent heart surgery where doctors implanted multiple stents in his blood vessels.
Thomas was originally meant to walk his daughter down the aisle on Saturday May 19 at St. George's Chapel.
Although it has not been confirmed who will now walk Meghan down the aisle to her prince charming, we do know what time she will be at Windsor Castle for her royal bride debut.
