The fourth-in-line took his sweetheart out on a night out to lift her spirits after she had bid a sad final farewell to Christopher Shaw, who died aged 76.
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Cressida and Harry were spotted in the royal box at the Royal Albert Hall watching Cirque du Soleil's new show Quidam.
Earlier in the day Cressida had arrived with her half-brother Jacobi Anstruther-Gough-Calthorpe at the Hampshire funeral of Mr Shaw.
The colourful financier was the fourth husband of her mother, society beauty Lady Mary Gaye Curzon. They were married for four years until 2000, during which time they threw lavish parties, including a Venetian-themed bash for her 51st birthday which included men on stilts and flame throwers.
PR exectutive Jacobi is one of three children from her mother's second union and he and Cressida are very close.
After the emotional day, Cressida turned to Harry for support – showing their relationship is stronger than ever.
The pair will likely be spending more time together after Harry has quit his job as a helicopter pilot to spearhead an ambitious attempt to bring the injured servicemen's "Olympics", known as the Warrior Games, to London.
The flame-haired royal made a surprise visit this week to support his father's appearance at the London Conference on the Illegal Wildlife Trade.
Prince Charles and his elder son William have spent the past week campaigning against the illegal wildlife trade.