Residents in the upmarket Toronto suburb where divorcee Miss Markle lives said they had seen black SUVs in the area on several occasions.
Karen Henry told the Mail: "One guy got out from the back of the car and you could see he had an earpiece."
Us Weekly claimed Harry flew into Toronto Pearson Airport on a commercial flight on October 28 and was whisked to Miss Markle's home in a waiting car.
Los Angeles-born Miss Markle lives in the city while filming US legal drama Suits.
Earlier reports suggested the prince had been scheduled to arrive in Toronto on a British Airways flight on October 30 but was a "no show".
The prince is still believed to be in Canada.
Despite being a full-time working royal since quitting his Army job last year, Harry has no public engagements in his diary until next Thursday.
Kensington Palace again refused to comment yesterday on the prince's whereabouts and when he will return to public duties.
Miss Markle is said to have been introduced to Harry by a mutual friend in early June. They met several times when she was in London at the end of that month.
Harry flew to Africa for the summer but since he returned she has visited London twice, in September and October.
It is understood that divorcee Meghan Markle enjoyed a "low key" meeting with Prince Charles when in London a few weeks ago.
She has also met Harry's cousin Princess Eugenie - who introduced Harry to his previous girlfriend Cressida Bonas, whom he dated for two years until 2014.
Miss Markle, a prolific user of social media, recently starting following Eugenie's boyfriend Jack Brooksbank on the picture-sharing site Instagram.
There is no indication that Harry has any immediate plans to introduce his new girlfriend to the Queen, which would only occur if the relationship was sure to end in marriage.
But the fact he felt comfortable enough for her to meet his father is a sign of how quickly the relationship is moving.
The prince is said to be "besotted" with his new love and one royal source said he is "happier than he has been for many years".
News of the romantic holiday emerged just hours after Miss Markle said she was the "luckiest girl in the world" in her first interview after rumours of the romance broke.
Meghan has also posted a series of romantic images on Instagram in the past few days.
The star posted a picture of two loved-up bananas "spooning" on Instagram, with the caption "Sleep tight". The cryptic post sparked instant speculation that Meghan was referring to the prince.