The second exchange involved Harry telling Meghan that "Then there's the flypast and then we all look up to the sky."
The pair continue to speak, with Meghan replying "okay".
The new Duchess of Sussex stole the show in a stunning dress by Carolina Herrera and a hat by Philip Treacy.
The parade, which has marked the official birthday of the British Sovereign over 260 years, brings together over 1,400 parading soldiers, 200 horses and 400 musicians.