Video footage shows the couple arriving at the Resorts World Theatre, where US pop star Perry has been performing a string of her PLAY shows since October.
Other members of the audience can be heard exclaiming as they notice the young royals being escorted to their seats before the show starts.
The Duke and Duchess of Susssex were reportedly joined by their friend, US-based British-Bahraini fashion designer Misha Nonoo, and her husband Michael Hess.
The couple have frequently been spotted enjoying date nights together, while Meghan also attended one of Taylor Swift’s Eras shows solo while Harry attended the International Sports Promotion Society (ISPS) event in Tokyo, Japan.
Perry, 39, is no stranger to performing in front of royalty. She was among the stars who joined the lineup for King Charles’s coronation concert in May this year, dazzling the audience with renditions of her hit singles “Roar” and “Firework”.
She was also one of the few celebrities invited to be part of the 2,000-strong congregation at Westminster Abbey on 6 May, when Charles and his wife, Camilla, were crowed king and queen.
Perry arrived at the ceremony with British Vogue’s editor-in-chief Edward Enninful. She had previously worked with the king via the British-Asian Trust, a charity established by Charles during his years as the Prince of Wales.
The pop star, who is married to Kent-born Pirates of the Caribbean star Orlando Bloom, chose to wear a lilac ensemble by British designer Vivienne Westwood, including a short-sleeved jacket and matching skirt, which she accessorised with a silk flower pinned to her lapel and dramatic headpiece with “merry widow” veiling.
She completed the look with Westwood’s Granny Frame pearl handbag, elbow-length gloves, and a pearl bas relief choker.
Perry gave an emotional speech towards the end of her Las Vegas show, in which she thanked the team behind the concert as well as her fans.
“What a wonderful celebration this has been,” she said. “I have loved the energy and the creativity you bring to every era... without you, there would be no PLAY. Thank you for taking me on this journey.
Thank you to my friends who have come out tonight to support me! Some of you were here on the opening night, and they’re here again on the closing night, and I don’t think you’re gonna get Covid tonight,” she joked.
“And to my family. I love you guys so much, and I’m just so excited to get home and play pickle ball tomorrow. Thank you guys for supporting me and for coming to Vegas more times in these past two years than we’ve ever been, and our own grandma even lived here. Thank you to my partner, Orlando, for being an incredible support system and an amazing father, I love you.”
“I created this show after the birth of my daughter, Daisy Dove,” Perry continued, growing more emotional.
“When I met her, it was like all the love I was ever searching for finally showed up. She made me whole, and she healed me, and she showed me how to play again. So this show is for everyone’s inner child and the hope that if maybe we could see the world through the eyes of a child, we will be free. Because never forget, that love will always be the key.”