Both parties will stop using their HRH titles and withdraw from royal duties, including official military appointments, from spring.
The Duke of Sussex has said he is "taking a leap of faith" in stepping back from being a senior royal, saying "there really was no other option".
According to the BBC, Prince Harry said he and Meghan had hoped to continue serving the Queen, but without public funding at an event on Sunday night.
"Unfortunately, that wasn't possible," he said.
The event saw the prince reiterate that the couple were "not walking away" from their previous positions, rather the pressures of their lives in the media deemed it too difficult to go on.
"The UK is my home and a place that I love, that will never change," he said.
In Prince Harry's speech, posted on the couple's Instagram account, he said that when he and Meghan were married "we were excited, we were hopeful, and we were here to serve".
"For those reasons, it brings me great sadness that it has come to this.
"The decision that I have made for my wife and I to step back is not one I made lightly," he said.
"It was so many months of talks after so many years of challenges and I know I haven't always got it right, but as far as this goes there really was no other option."
The duchess is currently staying on Canada's west coast with her son, after briefly returning to the UK earlier this month.
The couple said they plan to divide their time between the UK and Canada after they spent six weeks on Vancouver Island with their son Archie over Christmas.
The prince told attendees it was a "privilege... to feel your excitement for our son Archie, who saw snow for the first time the other day and thought it was bloody brilliant!"