The young couple, who are known for keeping a low profile, arrived separately at the Tabernacle in Notting Hill so as not to cause a stir.
Prince Harry dressed casually for the one-off gig, sporting a navy sweater, dark khakis and a baseball cap. The 29-year-old slipped quietly into the balcony just before the start of the event, and was joined by his girlfriend and his close friends including Guy Pelly.
Cressida, who wore a smart patterned jacket and jeans, looked happy and relaxed as she sat next to her boyfriend. Fans of the couple soon took to Twitter to share their celebrity sighting.
Harry wasn't the only royal spotted in the audience. His cousin Princess Beatrice and her long-term boyfriend Dave Clark also enjoyed date night at the concert.
Beatrice, who looked chic in an all-black ensemble and shiny metallic top, was clearly a big James Blunt fan. The red-haired royal sang along to the musician's well-known hits and positioned herself in the centre of the balcony for most of the night.
Standing next to her was comedian Rob Brydon and Ed Sheeran, who chatted with the Princess at intervals. The Everything Has Changed singer later joined Harry from the side balcony and the pair seemed to be having a great time.
James was performing a one-off gig in London to promote his upcoming fourth studio album, Moon Landing. The charismatic 40-year-old wowed his fans with popular old material, including hits You're Beautiful and Goodbye My Lover, and new tunes like Bonfire Heart.
Fans of the British singer-songwriter cheered James throughout the evening, and eagerly held him up when James crowd surfed at the end of the show.