The family were seen watching a 4th of July parade in the Jackson Hole valley, with an onlooker sharing the since-deleted photos on Facebook. So what do we know about the location of Jackson Hole?
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Jackson Hole sounds like the perfect destination for a get-away-from-it-all break with your family.
The town Jackson sits at the southern end of the 48-mile-long valley, which is surrounded by mountains and features the nearby Grand Teton National Park. The Snake River journeys through the whole valley from the famous Yellowstone National Park.
Jackson town in Wyoming
There are three ski resorts in the Jackson area, which in the summer are home to activities such as hiking and cycling, that the Sussexes are known to enjoy.
If Harry, Meghan and their children visited the Grand Teton National Park, they may have spotted some of the park's incredible wildlife, which include animals such as the moose, elk and even the black bear!
There is plenty to do in the park, such as hiking and fishing, a spot of white-water rafting, horse riding, or canoeing. There are even hot springs to take a dip in.
The stunning national park
It certainly looks like the Sussex family have begun their summer holidays - and living in California, they also have plenty of beautiful places to visit near home with their son and daughter.
We know that the foursome adore walking their dogs at the nearby beach and cycling around the local area – hobbies which they are bound to enjoy this summer.
Meghan and Harry
Should the family fancy venturing further afield, they may opt to visit one of their famous friends in exciting locations.
Meghan's close friend Serena Williams lives in Florida so we wonder if a trip to Disneyworld could be on the cards soon? And their moviestar buddy George Clooney and his wife Amal spend their summers at their Italian abode on Lake Como – a beautiful spot to visit at this time of year.
The royal couple are also currently filming their new Netflix documentary, letting cameras follow their daily life at their Montecito mansion and on their many outings.
The family have several friends with children nearby whom Archie and Lili can play with such as The Late Late Show host James Corden and his family, and actor Orlando Bloom, his wife Katy Perry and their daughter, Daisy, who are just down the road.
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