Mr Ri, who is the head of North Korea's Nuclear Weapons Institute, and Hong, deputy director of the ruling Workers' Party of Korea's munitions industry department, have been blacklisted by the South Korea, the United Nations and the US.
It was the first time Ms Ri has been seen in public since December, when she attended an air combat training competition with her husband.
Ms Ri is believed to have caught Kim's eye at a classical music concert in 2010 when she was a member of the national Unhasu orchestra.
In July 2012, state media confirmed the pair had married, ending weeks of speculation in the South Korean press, although their exact wedding date remains unknown.
Last year, the First Lady vanished for seven months, sparking fears she had fallen out of favour and been executed, only to appear alongside her husband at an air combat training competition in December.
News agency Yonhap later attributed her extended leave to pregnancy, citing South Korean politicians who were briefed by the National Intelligence Service on the birth of the couple's third child in February.
They already have two children whose genders have never been publicly disclosed. North Korea watchers have theorised Ms Ri may have been pressured into trying for a boy if the first two were girls.
Flamboyant basketballer and friend of the Supreme Leader, Dennis Rodman, told reporters Ms Ri had "kept talking about their beautiful baby daughter", following a visit to the hermit kingdom in 2013.
When she has made public appearances, she has favoured Western-style fashion and is believed to have a penchant for designer goods.
In 2012, Ms Ri caused an international stir when she was snapped with a $1700 Christian Dior handbag at a time when an estimated 84 per cent of North Koreans endured "borderline" or "poor" levels of food consumption, according to the UN.
That same year, the UN's Commission of Inquiry Report into North Korea estimated Mr Kim squandered more than AUD $745 million on "luxury goods", including cosmetics, handbags, leather products, watches, electronics, cars and top-shelf alcohol.