Photos in UK media showed Harry walking off a plane early Tuesday on Vancouver Island, where the family spent time over Christmas.
The Duke of Sussex attended the UK-Africa Investment Summit in London on Monday, where he met with UK Prime Minister Boris Johnson, before flying across the Atlantic.
A royal spokesperson told CNN they would not comment on the family's private schedule.
The Duke and Duchess spent the Christmas holidays in Canada with the Duchess' mother, Doria Ragland.
Meghan lived in the country for seven years and the couple say they have a "strong connection to Canada."
The Sussexes are set to embark on a proposed new life in the country, and Prime Minister Justin Trudeau said last week that discussions are ongoing in over who will pay the costs of their security detail.
The prince's departure from the UK follows a turbulent period in which Harry and Meghan agreed to give up their royal titles and end their official duties.
The couple made the shock announcement that they were stepping back from senior royal duties on Instagram on January 8, and the Queen announced a transition period had been agreed Saturday.
Conversations with the pair had been going on for months, said the monarch in a statement.
"I am pleased that together we have found a constructive and supportive way forward for my grandson and his family," read the statement.
Under the terms of the deal, Harry and Meghan will no longer represent the Queen as working royals, splitting their time between the UK and North America as they work toward becoming financially independent.
The pair will no longer use their royal titles -- His and Her Royal Highness -- beginning this spring, and Buckingham Palace announced Saturday they would instead be addressed as "Harry, Duke of Sussex" and "Meghan, Duchess of Sussex."
It's a move the Queen hadn't been expected to make and it's entirely unprecedented for a monarch to ask her own grandchild to drop their title, but given the prospect of the Sussexes signing commercial deals in the future, the need to separate their ventures from the royal household was pressing.
However, in one of the first hiccups in the process of decoupling Harry and Meghan from the royal family, the palace later said it would revise its guidance after reports Meghan's new title made it sound as though she were divorced.
The problem is that the same formatting was adopted by Sarah Ferguson -- now addressed as "Sarah, Duchess of York" -- after she divorced Prince Andrew in 1996. And Harry's mother was known as Diana, Princess of Wales after her divorce from Prince Charles.
On Sunday, Harry expressed "great sadness" about the developments at a charity event in London.
"Our hope was to continue serving the Queen, the commonwealth, and my military associations, but without public funding," he said in a speech. "Unfortunately, that wasn't possible."
Harry emphasized that the decision "is not one I made lightly" during his speech.
"The UK is my home and a place that I love," Harry said. "That will never change."
“It was so many months of talks after so many years of challenges. And I know I haven’t always gotten it right, but as far as this goes, there really was no other option.”