The ceremony in Toronto, Canada, began this morning (Saturday evening local time) and the couple were seen sitting in the stands of the Air Canada Centre.
The Suits actress’ appearance marks the first time she has joined Prince Harry for an official event.
However, to the disappointment of many fans, Ms Markle and Harry were not sitting together as the event kicked off.
Prince Harry was just a few feet away from his girlfriend as he sat next directly next to Melania Trump, who he had spoken with earlier ahead of the ceremony.
Meghan Markle lives in Toronto while filming Suits but has so far not appeared with Harry since he arrived in the city.
Prince Harry founded the Invictus Games for injured servicemen and servicewomen back in 2014.
He was given a pop star’s welcome in Toronto earlier this week when he began nine days of engagements before the third Invictus Games.
“Harrymania” swept the Canadian city as screaming women greeted the royal at an event ahead of the opening ceremony for the Paralympic-style games for injured ex-service personnel.
After the inaugural games in London and the second last year in Orlando, Florida, the third games in Toronto will feature more nations and competitors than ever before.
Some 550 competitors from 17 nations will take part in 12 adaptive sports.
Meghan, who has been dating Harry for just over a year, declared her love for him in an interview with Vanity Fair published earlier this month.
“We’re two people who are really happy and in love,” she said.
“I hope what people will understand is that this is our time. This is for us.”