The royal, who turned 30 on 15 September, was spotted seeing Cameron Diaz's new film Sex Tape with 25-year-old Cressida at a branch of Odeon in Kensington.
"They seemed very happy together when they went into the cinema," a source told The Evening Standard. "But when they knew they had been seen they decided to leave separately.
Harry and Cressida pictured at the WE Day concert in March
"It was apparent that they did not want to be photographed together," added the source. "Her taxi was heading towards Kensington Palace."
Cressida and Harry's date came two days after the budding actress supported the Prince at the Invictus Games Closing Ceremony.
Proving that they've stayed close since calling time on their relationship in April, Cressida jetted in to London from Italy where she had attended the wedding of Gabriella Anstruther-Gough-Calthorpe and Alan Pownall.
Cressida at the Invictus Games Closing Ceremony
Cressida joined Harry's cousin Princess Eugenie, who was responsible for first introducing the pair in 2012, as they enjoyed the Games' closing concert at the Queen Elizabeth Olympic Park.
The Leeds University graduate was also seen laughing and joking with Lizzy Wilson, who recently tied the knot with William and Harry's close friend Guy Pelly.
Since splitting from Harry, Cressida has remained close to his family and friends, enjoying numerous nights out with Princesses Beatrice and Eugenie and their mother Sarah Ferguson.
Cressida continues to mingle in royal circles
Cressida, who reportedly felt unable to fully pursue her career while dating the Prince, has also been focussed on her acting and made her stage debut at The Hay Festival in May.