The new parents to son Archie made an appearance in the locker rooms and then they joined the teams on the field to observe the first pitch of the game at London Stadium in the Queen Elizabeth Olympic Park.
They chatted with pitchers CC Sabathia of the Yankees and Chris Sale of the Red Sox during the ceremony.
This marks the second official appearance made by the Duchess of Sussex, 37, since giving birth to Archie. She donned a belted black dress and black flats while the Duke of Sussex, 34, wore an Invictus polo shirt.
Markle was caught hugging Sox outfielder Mookie Betts after it was discovered they common relatives. According to an 1870 Federal Consensus found by genealogist Jim McNiff, the two share an ancestor from the deep south.
Betts told the Boston Globe last year, "I saw on television that they were getting married. But I had no idea we were related .. That's not something you expect to hear, but it’s interesting."
The Royals appeared to promote the Invictus Games Foundation, which Prince Harry founded.
To celebrate the occasion, New York Yankees manager Aaron Boone gave Markle a very special gift.
He presented the new mom with a custom-made baby Archie jersey in the locker room with the number 19 (the year of his birth) on the back.
Meanwhile, the Boston team gifted the parents a mini red baseball bat and personalized onesie.
The game is reportedly sold out with an estimated 60,000 spectators in attendance. The teams will play a second game on Sunday, and it's also reportedly sold out.
Prince Harry has played polo in public many times and flown a helicopter with British forces in Afghanistan. He has also hiked in the Arctic with wounded veterans. But Saturday marked his first public appearance at a major league baseball game.
The couple plan to resume a full-scale royal schedule in about four months with a trip to South Africa that will mark Archie's debut on the international stage. Harry will continue on his own to other African countries. The date and itinerary have not been set.
The Associated Press contributed to this report.