The couple flew by helicopter to the exclusive resort of Shymbulak, a luxury chalet located in the mountains above the city of Almaty.
Their winter break comes amid engagement rumours
Both Harry, 29, and Cressida, 25, are experienced skiers, and it was on a previous skiing holiday in the Swiss resort of Verbier that they were first seen openly embracing.
Their winter break comes amid increasing speculation that an engagement is on the cards.
Earlier this month, the couple made their first ever public appearance together. They attended the launch of the first WE Day at Wembley Arena, where they sat side-by-side in the stands and Cressida sneaked in a quick kiss on Harry's cheek.
The couple are both experienced skiiers
Just two days later they stepped out for another high-profile outing, to cheer on the England rugby team as they took on Wales in the Six Nations.
Further fuelling reports that Harry is on the brink of proposing, it is thought that Cressida will join the Prince when he hosts a formal dinner in the Queen's rooms at St James's Palace on Thursday.
Harry is organising an official event to honour the war heroes he trekked to the South Pole with before Christmas, and he has decided to have his girlfriend by his side, according to the Mail.
The two were spotted cheering on England at a Six Nations rugby game
As Harry and Cressida start to make their romance more public, attention has suddenly shifted onto the pretty dancer, who until recently has kept an extremely low-profile. And as she emerges into the spotlight, her family have admitted they do have some concerns for her safety.
Cressida's half-brother Jacobi Anstruther-Gough-Calthorpe, who works as a city investor by day and a DJ and house music producer by night, told the Evening Standard that he dislikes the media attention his sister is getting because they are a "private family".
"I'd rather the media machine didn't build around my sister," the 30-year-old said. "My only worry is making sure she is safe and she is ok and she is happy.
"I don't really think about it all except in the sense of her safety."