A Very Royal Christmas at Sandringham

The royal's celebration will end with the Queen's annual Christmas message.

— -- Britain's royal family is gathering at the Queen's Sandringham estate in Norfolk for Christmas.

William and Kate, who are spending their first Christmas as a family of four, walked side-by-side to the royal Christmas service at St. Mary Magdalene Church, but the couple left 2-year-old Prince George and 7-month-old Princess Charlotte home for this event. Prince George, the third-in-line to the British throne, and Charlotte are not expected to attend the service until they're a few years older.

Wearing a festive evergreen Sportmax coat, a Mulberry clutch and Aquatalia boots, Kate smiled to the well-wishers who came out to see the royal family. William and Kate chatted with Prince Harry while following Prince Charles and Camilla to church.

ABC News' Royal Contributor Victoria Murphy, who was at Sandringham, noticed a marked change in security today from Princess Charlotte's christening just seven months ago, in July, which was also held at St. Mary Magdalene Church. Heavily uniformed and plain-clothed officers were on site along with sniffer dogs. Metal detectors were also out to check those attending the walk to and from the Queen's Sandringham estate. The Queen traditionally arrived in her Bentley while the rest of the family made the walk.

Members of the royal family will return for Christmas lunch and the Queen is expected to have all five of her great-grandchildren present, including Prince George and Princess Charlotte.

They'll be joined by Isla and Savannah, the children of the Queen's eldest grandson, Peter Phillip, and Mia, the daughter of Zara Phillips and Mike Tindall.

Norfolk, where Sandringham House is located, is famous for its fresh turkey and the royal family will dine on a traditional lunch.

The day is capped off with everyone gathering around to listen to Her Majesty's annual Christmas message.

The Queen will use her Christmas day address to highlight the "moments of darkness" this year, addressing the terrorism that has hit all corners of the globe. Despite the tragedy, the Queen urges people to be thankful, especially for family in her annual message.

The message was recorded in the 18th century Room at Buckingham Palace. The Queen sat at her desk accompanied by photographs of her family, including a picture of her with Prince Philip, The Duke of Edinburgh, a photo of Prince Charles and Camilla and a snap of William and Kate with Princess George and Princess Charlotte taken after Charlotte's christening. The Queen will remind the nation and Commonwealth that Christmas is "a time to remember all that we have to be thankful for."

The Queen, who attends church weekly regardless of where her travels take her, is comforted by her Christian faith. She gives thanks for "the people who bring love and happiness into our own lives" in the Christmas broadcast.

Prior to today's celebratons, Princes William and Harry took part in the annual Christmas Eve charity soccer match Thursday, pitting the princes and nearby villagers from Castle Rising against the Sandringham workers.

At this year's match, the royal brothers gave each other a big muddy bear hug as they battled it out on the field. The royal duo joined players from the local pub, the Black Horse Inn, and got down to business stretching so they were ready for the afternoon challenge.

In a candid moment earlier this month, Prince William said that this is the first year his oldest child, 2-year-old Prince George, "Has suddenly worked out what Christmas is all about," and couldn't be more excited.

The pint-size prince is apparently a handful, according to his father.

"George will be bouncing around like a rabbit," William said in a Dec. 6 interview at Kensington Palace with an aspiring journalist. "If I get any sleep on Christmas Eve, it will be good."