The group of nine were visiting the Christmas-themed Luminate woodland walk on the Queen's Sandringham estate on Sunday.
The attraction, which would have no doubt been a hit with Prince George, Princess Charlotte, Prince Louis, Lady Louise and James, Viscount Severn, is a month-long ticketed winter light trail, running nightly from 17 December – 17 January.
WATCH: The Queen and Prince Philip's impressive Christmas decorations at Windsor Castle
The website reads, "Nestled deep within Her Majesty's private Estate, awaits a spectacular, illuminated trail, full of wonder and intrigue, to delight and enthral your senses.
"As darkness descends, join us on our enchanting journey, as we weave a captivating light trail through the Country Park at Sandringham, the much loved rural retreat of Her Majesty. Immerse yourself in our mesmerising mile long trail, with stunning lighting elements and fabulous light play, all set to ambient music."
The family were recently pictured out together at a royal event
In pictures obtained by Daily Mail, the group can be seen wrapped up warm and wearing boots as they walk together through the trail.
Both groups arrived separately and royal sources have stressed that there was no intention of meeting up as a party of nine.
The family-of-five are currently staying at their Norfolk residence
"The two families were given separate consecutive slots to visit the trail just before it opened to the general public. They arrived and departed in their own family groups," said a royal source, adding: "As anyone with young children will know, there were moments on the 90-minute walk where it was difficult to keep the two family groups apart, particularly at bottlenecks on the trail."
The Cambridges are currently staying at Anmer Hall on the Sandringham estate while Prince Edward, Sophie and their children travelled to Norfolk from their home at Bagshot Park in Surrey.