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Peter, 36, and Autumn, 35, were seen playing with Savannah, two, and one-year-old Isla, who were cosily wrapped up against the cold.
Dressed in a tan coloured coat and sporting a blue hat bearing a cat's face and ears, Isla happily watched proceedings from her doting father's arms.
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Savannah, meanwhile, walked hand-in-hand with her Canadian-born mother.
The youngster, who was the Queen's first great granddaughter and is due to turn three on 29 December, wore a cute woolly hat and a red quilted jacket.
Former management consultant Autumn chose a chic burgundy coat and brown boots for the sporty occasion, while her husband wore a smart brown jacket over a jumper, shirt and tie.
The family were spotted earlier in the week arriving at Buckingham Palace for the Queen's annual pre-Christmas lunch.
As they drove to the Palace, Autumn was seen in a festive red jumper and glittering drop earrings.
Along with the rest of the British royals, Peter's family are eagerly awaiting the arrival of Zara Phillips and Mike Tindall's baby, who is expected to be born in the next month.
Zara and Mike's first child will be Peter and Autumn's niece or nephew and cousin to Savannah and Isla.
The two families will no doubt spend quality time together given that they live in close proximity to their mother, Princess Anne's, Gloucestershire Estate, Gatcombe Park, and often attend riding events together.