A black Cadillac Escalade was seen leaving the couple's $20 million Montecito mansion on Saturday night local time.
This is the first time Harry has been back in the UK since he and Meghan stepped back from their royal duties and moves to the US.
It is also the first time he will see other members of the Royal Family since he and Meghan's explosive interview with Oprah Winfrey, in which the couple levelled a series of major allegations against the royals.
Harry's arrival comes after the couple's brief, 10-word tribute thanking Prince Philip for his "service" was labelled "unbelievably cold" mid a social media backlash.
Harry and Meghan Markle's Archewell website was transformed into a page paying tribute to Philip hours after his death was announced.
"In loving memory of His Royal Highness the Duke of Edinburgh. Thank you for your service ... you will be greatly missed," the page read.
The brief message was labelled "cold" and "impersonal" by those on social media, who criticised its "lack of affection".
Philip's death has prompted Harry to return to the UK for the first time since March of 2020, when they left after stepping back from their duties as senior working members of the royal family.
The Prince will receive a relatively private funeral at St George's Chapel in Windsor Castle, in line with both the coronavirus pandemic and his own wishes.
That is the venue where Harry and Meghan got married.
"The funeral will not be a state funeral and will not be preceded by a lying-in-state," the College of Arms announced today.
"His Royal Highness's body will lie at rest in Windsor Castle ahead of the funeral in St George's Chapel. This is in line with custom and with His Royal Highness's wishes.
"The funeral arrangements have been revised in view of the prevailing circumstances arising from the Covid-19 pandemic and it is regretfully requested that members of the public do not attempt to attend or participate in any of the events that make up the funeral."