Harry and Meghan, who have not been in the UK together since they quit as senior working royals more than two years ago, are also believed to have met with the Prince of Wales.
It is understood the couple were at Windsor Castle on Thursday.
The trip to the UK comes after Harry was absent from the Duke of Edinburgh’s memorial service in London last month.
Harry is bringing a claim against the Home Office after being told he would no longer be given the same degree of personal protective security when visiting from the US, despite offering to pay for it himself.
The duke wants to bring his children to visit, but he and his family are “unable to return to his home” because it is too dangerous, his legal representative has said.
A spokesperson for Harry confirmed earlier in March that he would miss the service for his grandfather, but that he hoped to visit the Queen soon.
On Thursday night, a spokesperson for the couple confirmed they visited the Queen ahead of their appearance at the Invictus Games which open this weekend.
The couple’s surprise visit to the Queen and Prince of Wales has been viewed as an “olive branch” by royal commentators.
The meeting after considerable tension between the them and royal family was significant and would have been welcomed on all sides.
Ingrid Seward, editor-in-chief of Majesty Magazine, said the visit would have made the Queen very happy despite the couple’s highly publicised criticism of the royals.
Ms Seward said: “It is a wonderful opportunity to clear the air and offer an olive branch. After everything that has gone on it must have taken a lot for Harry and Meghan to go to Windsor.
“Also Maundy Thursday is a very special day for the Queen as it is about forgiveness. She is not one to hold grudges and I think she would have happily welcomed them with open arms.”
The Sun reported a busload of tourists had seen the couple visiting Windsor Castle, with one telling the paper they “couldn’t believe it when I saw who it was. We waved and they waved back.They looked happy and relaxed and waved to everyone on the bus”.
Harry and Meghan’s unannounced return to the UK comes as concerns continue to mount over the Queen’s health. The 95-year-old monarch is expected to miss another traditional event of the Easter period on Sunday.
Since recovering from Covid in February, which she admitted left her feeling “very tired and exhausted”, the Queen has also been experiencing mobility issues.
Harry and Megan’s charitable body has announced it is investing in more organisations that have “taken a lead in improving our digital community”.
Harry and Meghan’s Archewell Foundation has awarded “philanthropic grants” to a project working to give voices to local communities, and another funding academic research aimed at addressing the “challenges and opportunities of social media”.