Meghan Markle covered up in a cap and coat as she went incognito on Monday night during a secret trip to New York, where she is set to attend a baby shower thrown by her closest friends.

The 37-year-old royal is understood to have flown into the city on Friday for a surprise five-day trip after spending a quiet Valentine's Day evening with her husband, Prince Harry.

A spokesperson for Kensington Palace would not divulge details of the Duchess's flights, but confirmed that as this is a private trip, her travel was 'privately funded'.

The palace also declined to comment on Meghan's security detail for the duration of the trip, or the plain clothes officer seen accompanying her.

Her low-key and relaxed itinerary is said to have already included shopping and plenty of good food, but the main event of the trip is a baby shower with 15 of her closest friends at a hotel on New York's Upper East Side.