Markle, 36, who lives in Toronto, looked stunning in a dark burgundy leather jacked over a long dress.
Meanwhile, Prince Harry donned a blue suit with a white button-up shirt and black tie. His Royal Majesty was sitting next to First Lady Melania Trump who was leading the USA team delegation to the games.
Markle recently broke her silence about her relationship with Prince Harry in an interview with Vanity Fair earlier this month.
"I can tell you that at the end of the day I think it's really simple," she expressed. "We’re two people who are really happy and in love. We were very quietly dating for about six months before it became news. And I was working during that whole time, and the only thing that changed was people's perception. Nothing about me changed. I'm still the same person that I am, and I've never defined myself by my relationship."