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.
Prince Philip, 96, has been recovering from a hip operation.
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.
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"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.
