Among those taken by surprise were their Sydney hosts, Governor-General Sir Peter Cosgrove and Lady Lynne Cosgrove.
War widow Daphne Dunne, 98, has come out to greet Prince Harry numerous times, come rain or shine, and has created a special bond with the royal.
Meghan Markle and Prince Harry will welcome their first baby next spring.
It's barely been 24-hours since the initial public annoucement of the arrival of the Royal baby and the press is already going nuts over the news.
After the speech, Meghan spoke to guests including Australian TV personality Eddie Woo, who said his own children - aged five, seven and 10 - require "a lot of energy", to which she replied: "We're ready!"
Meghan, wearing a beige trench coat over a sleeveless cream dress by Australian designer Karen Gee, accepted cards and flowers from an enthusiastic crowd.
"I see babies for them", he told David Campbell and Amber Sherlock on TODAY Extra.
Meghan called the koalas "so, so, sweet".
The Kensington Palace Twitter account broke the news by saying Meghan "is expecting a baby in the Spring of 2019".
The Duke and Duchess of Sussex announced their engagement in November 2017, shortly after confirming their relationship and married at St George's Chapel, Windsor Castle, in May this year.
Harry founded the Games - which is a Paralympic-style event for soldiers wounded in action.
After the announcement that Harry and Meghan are expecting a baby, Morrison tweeted: "What fantastic news!" He just continued on with what he was doing, which was talking to me, and then when he started to go he gave me a kiss on the cheek.
The bookies' instant pick was Diana - the name of the late princess who was mother to both Prince Harry and his older brother Prince William - along with Arthur and Alice.
The announcement of the pregnancy confirms weeks of speculation from royal watchers about why Meghan was not joining Harry on his Sydney Harbor Bridge climb set for Friday.