Page Six on Thursday reported the couple are staying at the famous Carlyle Hotel.
The late Princess Diana often frequented the hotel - and liked to stay in the Royal Suite on the 22nd floor. Today, it costs upwards of $8,000 (£5,800) a night.
The Duke and Duchess of Cambridge also stayed at the Carlyle when they visited New York in 2014, also staying in the Royal Suite.
The Sussexes and their security team descended on the hotel’s upmarket Bemelmans Bar on Wednesday, the Mail Online reports.
Earlier on Thursday, the Duchess of Sussex said it was “wonderful” to be back in New York.
Harry and Meghan headed to the One World Trade Centre, built on the site of the twin towers which were destroyed in the September 11 attacks.
The couple were dressed sombrely for the occasion, which comes two weeks after the 20th anniversary of the terrorist atrocity.
Meghan, with her hair in a bun, wore a navy high-necked coat, turtleneck jumper and trousers and stiletto heels, while Harry wore a black single-breasted suit and dark tie.
Asked by a reporter if she was enjoying her trip to New York, Meghan smiled and replied: “It’s wonderful to be back, thank you.”
Harry gazed at his wife as she spoke and smiled.
Asked the same question, the duke echoed Meghan’s sentiments, saying: “It’s wonderful, thank you.”
The pair wore black face masks as they moved around the observatory, taking them off as they stood for photographs.
The visit is the couple’s first public appearance together since the birth of their daughter Lilibet in June, and their first major public trip post-Megxit.
They posed for the media at the top of the skyscraper against the panoramic backdrop, alongside New York City mayor Bill de Blasio and Governor of New York State Kathy Hochul on Thursday morning.
They were also joined by Mr de Blasio’s family – his wife, the first lady of New York, writer and activist Chirlane McCray, and son Dante de Blasio.
Afterwards, Harry and Meghan paid their respects with a visit to the neighbouring 9/11 memorial plaza.
They looked out over a reflecting pool where one of the towers stood, and also visited the September 11 museum.
After visiting One World Trade Centre, Harry and Meghan posed for more photographs outside, with Meghan, who stepped down as a senior royal in March 2020, giving a wave to the crowds of bystanders.
Harry grinned as fans screamed and chanted “Harry” and “Meghan”.
Meghan gave a thumbs up as one woman shouted “Meghan you look amazing” as the couple walked away from the site hand in hand.