With his brother and best man Prince William, he spent nearly 10 minutes chatting to the crowds.
Just before he went back into Windsor Castle, he was asked how he was feeling and said: “Relaxed, of course.”
Meanwhile, Meghan Markle and her mother, Doria Ragland, arrived at nearby Cliveden House Hotel.
As she arrived at the hotel following tea with the Queen, Ms Markle said she was feeling “wonderful” on the eve of her wedding.
During his walkabout, Prince Harry asked people where they were from, and whether they had been waiting long. He was also given a small teddy bear as a gift.
As he returned to Windsor Castle, the prince spotted his friend, Dean Stott – a former special forces soldier who trained with him for six weeks in 2007 – in the crowd.
The 41-year-old, who had just returned from a 14,000-mile Pan American Highway cycling trip to attend the wedding, said the prince told him he was “looking skinny” as he had lost weight.
“If he (Prince Harry) is nervous, he’s hiding it very well,” Mr Stott said.
Earlier, Kensington Palace said Prince Charles will walk Ms Markle down the aisle on Saturday.
Ms Markle’s father, Thomas, is unable to attend the wedding, after undergoing heart surgery.
The Prince of Wales was “pleased to be able to welcome Ms Markle to the Royal Family in this way”, the palace added.
Prince Harry’s grandfather, the Duke of Edinburgh, will also attend the wedding, Buckingham Palace confirmed.
Ms Markle’s mother, Doria Ragland, will take her daughter to the wedding at St George’s Chapel in Windsor.
Ms Ragland met the Queen for the first time at Windsor Castle, accompanied by Ms Markle, 36, and Prince Harry, 33.
She has already been introduced to Prince Charles and the Duke and Duchess of Cambridge.
The ceremony begins at 12:00 BST and will be broadcast to the world.
The Archbishop of Canterbury, Justin Welby, who will marry the prince and Ms Markle, said he thought it was “wonderful” Prince Charles will walk Ms Markle down the aisle.
“He’s a very warm person and that he’s doing this is a sign of his love and concern and support,” he said.
Mr Markle had been due to arrive in the UK earlier this week, but became caught up in controversy over the apparent staging of photographs with the paparazzi.
Speaking to the BBC from Windsor, American celebrity news site TMZ’s Sean Mandell said he had spoken to Mr Markle on Wednesday and that he was “doing well” and “recovering from surgery”.
Mr Mandell – who broke the story – said Mr Markle realised on Tuesday that he would not be travelling to Windsor.
“Chest pains were really being exacerbated by the emotional strain he was under,” he said.
“When doctors told him he needed to have surgery, he decided he needed to heed that advice, despite the fact he wanted to be here in Windsor for Meghan.”
Ms Markle released a statement on Thursday saying she hoped her father could be given space to focus on his health.
Media captionTMZ’s Sean Mandell says Thomas Markle thinks “news reports are not accurate”
Ms Markle’s mother met William and Catherine and their eldest children, Prince George and Princess Charlotte, at Windsor Castle on Thursday afternoon.
She took tea with Prince Charles and Camilla at Clarence House in London on Wednesday.
Ms Markle will have 10 bridesmaids and pageboys, who are all under the age of eight.
She decided against having a maid of honour, saying she wanted to avoid choosing between her closest friends.During the walkabout, lucky royal fan Jane Toffolo not only spoke to Prince William – but found herself a new job.
As Prince Harry shook as many hands as he could, greeting well-wishers who had camped out since Tuesday, his elder brother had a cheeky request for Jane.
“He said he was after a new babysitter and asked if we could do it – he said it to all of us,” Jane recounted afterwards.
And what did she reply? “Of course!”
Rick Dormer and Nicola Dormer from Salisbury stood next to a young royal fan, also called William, who spoke at length to Prince William – and got a royal high five.
“When Prince William found out the young boy’s name was also William, he said ‘well you’re the most important person here!'” said Mrs Dormer.
Ms Markle will spend her last night before the wedding with her mother at Cliveden House Hotel, which is in Buckinghamshire, about nine miles north of Windsor Castle.
Prince Harry will be staying 15 miles away at the Dorchester Collection’s Coworth Park in Ascot, with his brother.
Media caption Harry and Meghan’s royal engagements
Up to 100,000 people are expected to line the procession route on Saturday. Thames Valley Police has said it expects the town to be full to capacity by 09:00.