After the performance, Harry and Meghan met with well-wishers outside the famed building, many of whom had been waiting for hours in the Sydney sun to catch a glimpse of the royal couple.
It's hard to overestimate how popular Harry and Meghan have become.
Harry's cousin, Princess Eugenie, married Jack Brooksbank at the same location on Friday. The Duke and Duchess of Sussex are in Australia for their first official engagement together and here's what went down.
The tour coincides with the third Invictus Games, an worldwide sports competition Harry founded in 2014 for wounded veterans and members of the military, which kicks off Saturday. Harry created the popular worldwide multi-sport event, in which wounded, injured or sick armed services personnel and veterans take part in sports including wheelchair basketball, sitting volleyball and indoor rowing. This, of course, isn't the first time fans have been elated with the news of another royal baby.
Harry, who served with the British Army for a decade, including two tours of duty in Afghanistan, set up the Invictus Games after visiting the US Warrior Games in 2013.
Harry and Meghan will attend the games' opening and closing ceremonies.
The couple, who will spend a total of 16 days in Australia, New Zealand, Fiji and Tonga, were presented with a belated wedding gift on behalf of Australia: Akubra hats.More news: Pro-Trump Mob Assaults Protesters in NYC: "Are You Brave Now, F*ggot?!"
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In all seriousness, there had been media speculation for a number of weeks that Meghan might be pregnant, and the couple have made no secret of their desire to have children. In Fiji, they will visit Queensland's Fraser Islands, a site under the Queen's Commonwealth Canopy.
The parents-to-be looked happy as they received a welcome to Admiralty House by His Excellency General the Honourable Sir Peter Cosgrove, Governor-General of the Commonwealth of Australia and Her Excellency Lady Cosgrove.
The crowd cheered as the waving couple was driven through the gates of the harbour-side mansion.
"I really want to ask about Meghan's makeup!"
The Duke and Duchess of Sussex held the first engagement of their first Australian tour at Admiralty House in Sydney on Tuesday morning.
After the announcement that Harry and Meghan are expecting a baby, Morrison tweeted: "What fantastic news!"
"Looking forward to sharing in the joy during your stay down under". The Palace also revealed that the Queen along with the Prince Philip, Prince Charles, Camilla and Prince William and Kate Middleton were "delighted" when they found out about the news.
The couple, officially the Duke and Duchess of Sussex, is now on a 16-day tour of Australia and New Zealand, with their arriving in Sydney, holding hands, over the weekend.