It is the first time Lili has been publically called princess - she gained the title when her grandfather acceded to the throne.
It is understood Lili’s title of princess and Archie’s title as a prince will be used in formal settings, but not in everyday conversational use by the couple.
Harry and Meghan are understood to be keen to not deny their children their birth-right, but to allow them the chance to decide for themselves when older whether to drop or keep using the titles.
The christening took place privately at the Sussexes’ home in California.
A spokesperson for the couple said: "I can confirm that Princess Lilibet Diana was christened on Friday, March 3 by the Archbishop of Los Angeles, the Rev John Taylor."
The rules set out by King George V in 1917 mean Archie and Lili, as the children of a son of a sovereign, are automatically a prince and a princess and also now have an HRH style if they choose to use it.
Meghan said in the couple’s bombshell interview with US talk show host Oprah Winfrey that Archie was not given the title of prince because of his race.
However, when Archie was born seventh in line to the throne in May 2019, he was too far down the line of succession.
Although he was a great-grandchild of the monarch, he was not a first-born son of a future king, so was not automatically a prince.
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