The Duke and Duchess of Sussex flew in from Australia on a Royal New Zealand Air Force flight carrying the Kiwi Invictus team.
They held hands as they left the aircraft and were greeted by Prime Minister Jacinda Ardern and Wellington mayor Justin Lester before mingling with the Invictus athletes.
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They departed the airport for a traditional Maori welcome and reception at the residence of the Governor-General of New Zealand Patsy Reddy.
The visibly pregnant Duchess, with her hair in a bun, was wearing a black dress by ASOS Maternity and a calf-length brown chequered coat by Karen Walker.
Both royals were wearing a red poppy.
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Harry and Meghan will visit a newly unveiled UK War Memorial in Wellington and later Sunday attend a 125th anniversary celebration of women's suffrage in New Zealand.
Their itinerary over the following three days includes a hike and barbecue in the Abel Tasman National Park at the top of the South Island, a reception with Ardern at Auckland War Memorial Museum and a visit to the popular North Island tourist resort of Rotorua.
Prince Harry and his wife Meghan are welcomed in Wellington with a traditional Maori challenge pic.twitter.com/uqkRfjre8W
— AFP News Agency (@AFP) October 28, 2018
The couple will then head back to Auckland before flying out on Thursday to end their marathon tour which also took in Fiji and Tonga.
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The Duke and Duchess of Sussex earlier departed a windy Sydney airport, with Meghan wearing a burgundy dress.
Thousands of royal fans had turned out to greet the couple on their jam-packed visits to Sydney, Melbourne and the regional town of Dubbo.
The prince and Megan on Saturday attended the closing ceremony of the Invictus Games, the Olympic style sporting event for wounded soldiers that he helped found.
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