The celebration, held annually by Queen Elizabeth, is an opportunity for the monarch to celebrate Christmas with all of the extended members of her family, including those who might not be invited to Sandringham, Queen Elizabeth's estate where much of the royal family celebrates Christmas.
The lunch will be an opportunity for Markle, a Los Angeles native, to meet some of the more distant relatives ahead of her May wedding to Harry.
Other members of the royal family seen arriving today included Princess Eugenie and Princess Beatrice, the daughters of Prince Andrew and Sarah Ferguson, and Peter Phillips, Queen Elizabeth's eldest grandson and the son of Princess Anne.
Markle, whose engagement to Harry was announced Nov. 27, has been truly welcomed into the royal fold and the family has been keen to make her feel welcome.
In an unprecedented move, Queen Elizabeth will include Markle in the Christmas Day celebration at Sandringham. In the past, fiances of royal family members have not been included in the festivities at Sandringham.
Kate did not attend Christmas services at Sandringham in 2010 when she was still engaged to William. She spent Christmas with her family before her wedding to William the next year.
"You can expect to see The Duke and Duchess of Cambridge, Prince Harry and Ms. Markle at Sandringham on Christmas Day," Kensington Palace said in a statement last week.
Today's lunch will see Markle reunite with the queen’s beloved corgis, who have taken a shine to her.
During their engagement interview last month, Harry joked that his grandmother’s corgis had already fallen for his fiance.
"I've spent the last 33 years being barked at, this one walks in, absolutely nothing," Harry added of Markle's first encounter with the corgis, saying the pups were "just wagging tails, and I was like, 'Argh.'"
Markle added that some of the dogs were "just laying on my feet during tea. It was very sweet."
William and Kate are expected to host Markle and Harry at their Anmer Hall home for the Christmas weekend at Sandringham.
The royals have been getting into the Christmas spirit all month long.
In an appearance shown on the Royal Variety performance Tuesday, William showed he was a good sport when a young performer asked him to gallop and he obliged, with Kate laughing by his side.
William and Kate shared a new family photo Monday that’s featured on their royal Christmas card this year.
Kate, who is expecting her third child, and the rest of the family coordinated in blue outfits.
Earlier this month, Kate handed out Christmas presents and helped set up for a Christmas party at Rugby Portobello Trust, a charity that helps young people.