The couple were abiding by new Southern Californian regulations which mandate the wearing of face masks amid the coronavirus pandemic. However, the security guard thought to be with them was not wearing one.
Harry and Meghan didn't bring 11-month-old Archie with them, as he's said to be "toddling everywhere" at the moment.
They officially stepped down from royal duties on March 31. They've now settled in California, although they initially moved to Canada last year.
It's thought they are staying in Malibu while looking for a "forever" home.
This week it was revealed Meghan and Harry had been helping deliver meals to people in LA as part of the Project Angel Food charity. They were spotted in West Hollywood on Thursday accompanied by a security team.
A source close to the Sussexes told the Daily Mail the couple had hoped to keep their volunteer work private, but were happy the charity was getting recognition.