According to The Evening Standard, police are investigating whether or not the incident is related to an incident which saw a package containing white powder being sent to Parliament. Other UK media reports said the package also contained a racist letter.
Prince Harry is due to marry Markle on Saturday 19 May in Windsor.
It was received this month at Kensington Palace but the powder was found to be harmless after an examination by experts.
Met Police are also attempting to track the sender (s) but so far no arrests have been made.
Prince Harry, 33, and Meghan, 36, have since been informed about the incident as an investigation gets underway into whether the two letters are linked.
The powder was quickly analyzed by the Metropolitan Police's counter-terrorism unit and found to be harmless, but the power of such a threat still echoes through Kensington Palace.
The newlyweds will then embark on a carriage procession around Windsor before ending up at the town's famous castle. The Evening Standard said the package was sent there for sorting before delivery.
The package was address to the couple at Kensington Palace.