Markle, 37, and Harry, 34, visited New Zealand House in London on Tuesday.
The pair laid down flowers at a makeshift memorial for the Christchurch mosque massacre victims, and the couple signed the condolences book.
“Our deepest condolences ... We are with you,” Meghan wrote.
Harry signed his name with “Arohanui,” which translates to “best wishes” in Maori.
People reports that Markle wore special earrings given to her by the New Zealand Prime Minister Jacinda Ardern.
Before their visit, Kensington Palace released a statement about the shooting, which left 50 dead and countless others injured, on the behalf of the Duke and Duchess of Sussex, as well as Kate Middleton and Prince William.
“Our hearts go out to the families and friends of the people who lost their lives in the devastating attack in Christchurch. We have all been fortunate to spend time in Christchurch and have felt the warm, open-hearted and generous spirit that is core to its remarkable people. No person should ever have to fear attending a sacred place of worship," the statement read.
"This senseless attack is an affront to the people of Christchurch and New Zealand, and the broader Muslim community. It is a horrifying assault on a way of life that embodies decency, community, and friendship. We know that from this devastation and deep mourning, the people of New Zealand will unite to show that such evil can never defeat compassion and tolerance," the statement continued. "We send our thoughts and prayers to everyone in New Zealand today. Kia Kaha."
Both couples spent time in Christchurch.
Markle and Harry visited in October 2018, while Middleton and William last toured the city in 2014.