Rodriguez and his fiancee, Jennifer Lopez, ran into the duke and duchess last month in Miami.
Alex Rodriguez is staying tight-lipped when it comes to his time hanging out with Prince Harry and Meghan Markle. The 44-year-old former New York Yankees star appeared on Monday's The Tonight Show Starring Jimmy Fallon, where he was asked in a Q&A segment about rubbing elbows with the royals.
"I signed an NDA," A-Rod replied while grinning.
"So that means you did!" Fallon exclaimed.
"Non-disclosure," Rodriguez said again while flashing his teeth.
A source previously told ET that Harry and Meghan ran into Rodriguez and his fiancee, Jennifer Lopez, while they were all at the J.P. Morgan summit last month.
The source noted that the couples spent "quality time" together at the event, adding, "The couples talked about all the major events going on in their lives and most of it was about their children."
Harry and Meghan recently wrapped up a visit to the U.K., where they made their final appearances as senior members of the royal family. They will officially transition out of their roles on March 31. For more, watch the clip below: