Prince Harry and his fiancee Meghan Markle flew out of the billionaire tax haven of Monaco on a helicopter after celebrating New Year "partying like tycoons".
A source on the French Riviera told the Daily Mail the couple arrived on December 31 and met friends.
There was speculation that the group may have included Prince Albert, and his wife, Princess Charlene, who are the most senior royals in the millionaires' playground in the south of France.
Last year, glamorous Princess Charlene joined Prince Harry at Twickenham to watch a rugby match between England and south Africa.
"Monte Carlo is party central at this time of the year and the word is that the British Royals really enjoyed themselves," a source in the principality said.
"What's certain is that they were partying like tycoons on New Year's Day. Fun around Monaco is never understated, and always costs a fortune."
Prince Albert, 59, has already given relationship advice to Harry, 33, and Meghan, 36, following their engagement.
The couple's trip to Monaco was, however, kept as private as possible, thanks to a massive security operation.
Three bodyguards accompanied them on a British Airways flight from London to the French city of Nice on New Year's Eve, when they took up three rows of economy seats.
There was no first class on the short flight, but when they got to Nice they boarded helicopters for the seven-minute hop to Monte Carlo.
They spent two nights in the principality, and were then seen boarding helicopters again at 11am on Tuesday morning.
The loved-up royal couple's private flight was a considerable upgrade from their economy trip to Nice — where they are said to have sat beside the toilets among other passengers.
In an attempt to remain incognito, the pair boarded their 9.55am flight from Heathrow before any other passengers and headed straight to the back of the plane, next to the rear toilets.
They also took up three rows of economy seats, either side of the aisle, even though there were only themselves and three "edgy and nervous" bodyguards in their party.
Harry, 33, apparently slumped down next to the window dressed in jeans, a jacket and with a baseball cap pulled over his face.
Bride-to-be Miss Markle, 36, was sitting next to him in a black beanie hat and minimal make-up.
In Monaco it was likely to have been a far grander affair. Dubbed the "Mayfair of the Med", the principality has become famous as something of a playground for the wealthy.
The crystal clear coastline in the sovereign city-state is lined with super-yachts — with cars worth well into the millions parked on the streets.
The super-rich are drawn to the nation by its relative security and privacy in a space that is only slightly larger than London's Regent's Park.
But it was a quick visit for Harry and Meghan who are already thought to have returned home to London ahead of a series of official engagements in the months leading up to their May wedding.
Next week they wil visit the London studios of a youth-orientated radio station to learn about its work supporting young people.
The couple will meet presenters and staff from Reprezent 107.3FM which trains hundreds of young people every year in media and employment skill.
According to one fellow traveller, on the couple's flight from Heathrow the aircraft actually took off several minutes early and shaved 20 minutes off its two-hour flight time.
And if anyone hadn't spotted the group by that point, they couldn't mistake the two heavily armed officers from the French border police waiting for the party as they disembarked, ready to whisk them out through the VIP area.
All officers were armed with a Beretta M9, while at least one of them would also have a machine gun.
Other sources told the Mail that several members of France's elite Service de la Protection – the police unit responsible for the protection of foreign dignitaries – have flown down from Paris to guard the couple during their stay.
Asked if Kensington Palace had requested them, they said: "No, it would have been offered and would have been non-negotiable.
"After what happened to his mother in this country and the issue of terrorism, it would be insisted on even for a private trip such as this."
Like cable TV star Meghan, Albert's mother Grace Kelly was an American actress. Grace won an Oscar before marrying Prince Rainier of Monaco and becoming Princess Grace.
Albert himself married former South African Olympic swimmer Charlene Wittstock, who is now Princess Charlene, 39.
"Charlene would have a lot in common with Meghan, and the pair would have much to talk about," said the source.
"Both are relative unknowns who are now Royal stars on the world stage. Meghan would learn a lot by listening to Charlene.
"The Princess Grace story will also appeal to Meghan – Grace was a beautiful American who charmed everybody when she became a Royal."
Last summer, Prince Albert told America's People magazine that Harry and Meghan were "doing a pretty good job so far", despite a "pretty tough act".
He warned that Meghan, who worked on game shows such as Deal Or No Deal before landing a part in the legal drama Suits, would have to face up to "the full onslaught" of international interest.
One decision that has already been made is the catering firm they will use for their May nuptials.
While royal household staff will man and cater the main event – and will be paid for by the Queen and Prince Charles privately – the couple have also employed society favourite Table Talk, most probably for the evening reception.
The firm has royal pedigree – it was used by Prince William and the Duchess of Cambridge for their 2011 wedding and by Kate's sister, Pippa Middleton, when she married last year.
Kensington Palace declined to comment last night.