Prince Harry, who served in the British army for a decade and rose to the rank of Captain, wore military medals as he laid wreaths at both nation's memorials.

“For all those who have made the ultimate sacrifice in pursuit of our freedom. Thank you. Harry," said his handwritten note.

He and Ms Markle signed the book of remembrance at the Australian memorial.

The speaker of the New Zealand House of Representatives Trevor Mallard said he had grown up in the shadow of the Second World War and the fears of veterans that their sacrifices would be forgotten.

"I just know that those men all now deceased would be absolutely thrilled with the turnout and the support that we are seeing here this morning," he said.

Prince Harry later laid a wreath on behalf of the Queen at the cenotaph on Parliament Street at Westminster which honours "the Glorious Dead."

Australian woman Harriet Swinburn, who lives in London, said it was the first time she had attended the dawn service and went because of family links.

"My grandpa was from New Zealand but he came over to England to be in the British air force in the first world war," she said.

She said it was a nice that Prince Harry and Ms Markle attended "especially after the Commonwealth meeting" but said she would have gone to the service even if they had not.

Chloe Westley, 23, was also among the crowd of several thousand people. She has attended the dawn service in London for the past five years.

"It's always heartening to see Prince Harry and other members of the royal family attending," she said.

"I think it's a testament to the beautiful kinship between our nations. We are family, and always will be."

Amy Manford, who plays the other Christine in The Phantom of the Opera, said she was honoured to sing the anthem and a hymn at the service.

“I was very humbled and moved by the whole experience and it was an absolute pleasure for me to sing our Australian anthem in front of the soon to be wed couple and the thousands of attendees," she said.

At midday, Prince Harry and Meghan were joined by Prince William, who on Monday welcomed his third child into the world, for a lunchtime service at Westminster Abbey during which the Dean of Westminster Dean Hall warned the world had not learned the lessons of the wars that had cost the lives of so many Anzacs.

Prince William and the Duchess of Cambridge are expected to announce the name of their second son, who is fifth in line to the British throne, by the end of the week.

Prince Harry and Meghan Markle are expected to travel to Australia later this year for the Invictus games, the sporting competition for wounded veterans he created.