A spokesperson for Phillips company, XP Medical, which provides rapid Covid-19 tests, said they don't comment on details of Phillips' accommodation while travelling for business.
Police issued a statement, saying: "At around 6.40pm on Friday March 26, 2021, police received a report of a potential breach of coronavirus regulations at a property in St Cyrus, Montrose. Officers attended, spoke to the occupants and found no breaches of legislation."
The woman, who is separated from her husband, is a friend of Phillip's sister Zara from their days at private school in Scotland.
The woman attended Zara's wedding to former rugby star Mike Tindall in 2011.
Inside sources have said Phillips is the Queen's "favourite grandson", according to The Sun.
Phillips, a father of two, announced his split from Canadian wife Autumn, 41, in February of last year.
England is still under a strict "stay at home" order while Scotland is still in lockdown with travel only permitted for "essential purposes".