Meghan is said to have left baby son Archie in the care of Harry for her transatlantic trip to support her tennis star friend.
It is thought to be the first time she has returned to New York since her baby shower was held in Manhattan earlier this year.
Williams is believed to have co-hosted an event at Manhattan’s Mark Hotel, with a host of A-listers attending the celebration including lawyer Amal Clooney, wife of Hollywood actor George Clooney.
The duchess reportedly flew by a commercial plane and is likely to meet up with friends to watch the tennis star play on Saturday.
Williams will be trying to win her first Grand Slam since giving birth to daughter Alexis in September 2017 and takes on 19-year-old Canadian Bianca Andreescu.
Meghan was in the royal box supporting her good friend when she played in this year’s Wimbledon final – but the American lost in straight sets.
The pair became friends after meeting at an American football Super Bowl party in 2010 and they quickly bonded.
Buckingham Palace declined to comment.