The 31-year-old royal looked as if she had a workout scheduled as she stode along in leggings, trainers and a tracksuit top. Her long blonde hair was pulled back into a ponytail and covered up with a New York Yankies cap.
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Madeleine resides in the Big Apple with her husband Chris O'Neill, who is a financier in the city. The princess meanwhile, works for her mother Queen Silvia's world Childhood Organisation.
The pair will stay in NYC for the time being, but as Madeleine said in a pre-wedding interview, are not excluding "the possibility of moving to Sweden in due course".
Until then, Madeleine receives regular visits from her family – especially siblings Prince Carl Philip and Crown Princess Victoria.
Princess Victoria pictured during her trip to New York
In fact, the future queen of Sweden has just paid her sister a visit – the sisters were seen indulging in some retail therapy at the weekend together.
Enjoying the sunshine, the pair browsed the stores on Fifth Avenue including Bergdorf Goodman's and Henri Bendel. They also called in on FAO Schwarz – the US's oldest toy company – leading to speculation the mum-to-be was looking to pick up something to entertain the baby for when he or she makes an entrance.
Almost exactly 12 weeks after the pretty royal tied the knot came the happy announcement she and Chris are expecting their first child.