Prince Andrew, 64, was seen driving his Range Rover from his home at nearby Royal Lodge to the paddock on the Windsor estate.
It comes just weeks after the Duke was embroiled in a scandal amid his connections to an alleged Chinese spy, Yang Tengbo.
ROYAL NEWS
As a result, Andrew remained in Windsor instead of joining the King and Queen at Sandringham for Christmas and also missed out on the monarch's festive lunch at Buckingham Palace.
Mr Yang, who has denied being involved in espionage, has been banned from entering the UK.
He was a founder-partner of the Chinese arm of Andrew's Pitch@Palace initiative and visited several royal residences at the invitation of the Duke.
Andrew, who turns 65 next month, cut a pensive figure as he drove his own car through the Windsor estate. #
His former wife, Sarah, Duchess of York, celebrated Christmas with him at their shared residence, Royal Lodge. However, their eldest daughter, Princess Beatrice and her husband, Edoardo Mapelli Mozzi celebrated Christmas in Norfolk while their youngest daughter, Princess Eugenie, spent the festive period with her husband Jack Brooksbank's family.
The Duke stepped back from public duties in 2019 amid his connections to convicted sex offender Jeffrey Epstein, and has only made a handful of public appearances since then, including last year's Easter Sunday service.
As well as Sienna, Andrew is a grandfather to Eugenie's sons, August and Ernest Brooksbank.
The family is weeks away from welcoming a new addition with the impending birth of Beatrice's second child.
LISTEN: The big royal events happening this year amid King Charles' ongoing treatment
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