Zara showed off her baby bump in a black belted Madderson London 'Coco' knee-length dress, adding a fur-lined cape to protect against the cold.
The 32-year-old royal accessorised her look with black heels, a black clutch bag and added a splash of colour with a glittering Remembrance Day poppy brooch.
Prince George's godmother also wore chic stud earrings and swept her blonde hair into a loosely curled ponytail.
Zara's husband of two years looked smart in a black tuxedo as he joined his teammates from their 2003 World Cup victory at Battersea Evolution.
Mike, 35, recently said he is "really looking forward" to his impending fatherhood.
"I'm not sure how I've prepared," he said. "We've been pretty relaxed. We've not sorted a nursery yet."
"I hope we're going to make good parents," added Zara, who said the couple don't know if their baby is a boy or a girl. "That's the plan."