The family-of-four travelled from their Montecito home in Santa Barbara to Jackson Hole to enjoy the weekend alongside some friends.
WATCH: Meghan Markle kisses Prince Harry after his team win
In the snaps, posted by an onlooker on Facebook, Meghan can be seen wearing black jeans, a white top and a large brown straw hat by Cuyana – whilst attentively watching her son Archie, three, who is wearing an all-blue outfit and a red, white and blue cap. The youngster cheered on the passing parade whilst holding an American flag.
Prince Harry could be seen standing behind them, wearing a dark grey top and green cap.
Meghan, pictured alongside Delfina Blaquier, supported Harry during his polo tournament last month
"Funny story, we are in Jackson Hole WY at their 4th of July parade. The big tough guy told us twice that he was saving seats for a family…" the woman who took the pictures of the Sussexes wrote.
She later added: "I thought, well it must be the royal family (very sarcastic thinking!) A minute later Meghan Markle and Prince Harry walk up with little Archie!
"The big guy was the bodyguard. Meghan is gorgeous and Harry and Archie are cute," she added.
GET MEGHAN'S LOOK:
Asymmetric straw hat, £14.99 / $20.99, H&M
Since their move to the US, the family are rarely pictured but it's clear that they are enjoying their time in the country and slowly discovering all the states.
'Scarlett' hat, $350, Janessa Leone
The couple travelled to London for the Queen's Platinum Jubilee in June
Last year, Prince Harry travelled to Fort Worth, Texas, and visited the historic Cowtown Coliseum and attended a Stockyards Rodeo event.
The Duke made the solo visit over a weekend and reportedly enjoyed a VIP tour of the venue.
A picture of the father-of-two was shared by Cindy Reid, who works for Stockyards Rodeo, on social media.
The photo showed Harry in a brown cowboy hat and a green shirt, and was captioned: "Where was Prince Harry Saturday night? Oooooh, just hanging out behind the bucking chutes at the Stockyards Championship Rodeo!! Loooove it!! Thank you for the visit!!"