Meghan Markle, Prince Harry and their two children were picked up by a Land Rover sent by the Queen after they flew to the UK by private jet from California.
It marks the first time the pair have been in the country together since they left for the US over two years ago.
They have been outspoken in their criticism of the Royal Family since making their home in America.
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It has led to a strained relationship but the Queen is reportedly keen to see them and sent a vehicle to pick them up along with her own protection officers, reported The Sun.
It will also be the first time that the Queen gets the chance to meet their youngest child Lilibet, aged one.
A convoy of cars took the the family from Farnborough Airport to Frogmore Cottage, that used to be their home before they moved abroad.
On the decision by the Queen to send a car for the Sussexes, a Sun insider said: “The Queen believed it was the right thing to do.”
The couple are in the UK for the Jubilee celebrations. The Platinum Jubilee is the 70th anniversary of a British monarch's reign, and Queen Elizabeth II is the first to reach the milestone. Celebratory events have been organised across the United Kingdom to mark the anniversary.
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Harry and Meghan won’t be on the Buckingham Palace balcony today but they will be involved in other festivities, Mirror UK reports.
They are expected to join the congregation for Friday's service of thanksgiving for the Queen's 70-year reign at St Paul's Cathedral.
Meanwhile, reports have also suggested that on the Saturday, the couple will finally formally introduce Lilibet to the Queen on her first birthday at a possible party.
Harry and Meghan may also attend the Jubilee Pageant, which is taking place on Sunday - although again this has not been confirmed.
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