Royals Inside Prince Harry and Princess Eugenie's Close Bond amid Their Surprise Super Bowl Appearance Prince Harry and Princess Eugenie "have one of the most natural connections," according to a royal source. By Erin Hill Erin Hill Twitter Senior News Editor, PEOPLE People Editorial Guidelines Published on February 14, 2022 11:46 AM Share Tweet Pin Email Trending Videos Prince Harry and Princess Eugenie at the 2022 Super Bowl. Photo: NBC 01 of 08 Prince Harry and Princess Eugenie at the 2022 Super Bowl. NBC Prince Harry attended the Super Bowl alongside his cousin, Princess Eugenie, on Feb. 13. Eugenie, who has long been close with her first cousin, flew to California from her home in Windsor, England. 02 of 08 Max Mumby/Indigo/Getty Images "Eugenie had always been more than just a cousin to Harry. They were also the closest of friends," authors Omid Scobie and Carolyn Durand wrote in Finding Freedom: Harry and Meghan and the Making of a Modern Royal Family. 03 of 08 Mark Cuthbert/UK Press via Getty Images "Out of all the Queen's grandchildren, Harry and Eugenie have one of the most natural connections. Like Harry, Eugenie is loyal, honest, and great fun. The two had many nights out together in London," the authors added. 04 of 08 Pascal Le Segretain/Getty Images "Harry had always confided in his cousin when it came to the women in his life," the Scobie and Durand wrote. "Not only did he trust her implicitly, but friends say that she gives great advice and has always been 'beyond wise' for her years." 05 of 08 Princess Eugenie and Prince Harry. Indigo/Getty Images Speaking with Oprah Winfrey last March, Meghan Markle revealed that she knew Eugenie prior to dating Harry. "Eugenie and I had known each other before I had known Harry, so that was comfortable," Meghan said. "We're friends with them as a couple." 06 of 08 PA Images via Getty Images The Duchess of Sussex sat down with pal Ellen DeGeneres on her talk show and opened up about a special Halloween in 2016. Harry came to visit her in Toronto (with his cousin Princess Eugenie and her now-husband Jack Brooksbank!), where they hit the town — in disguise. "The four of us snuck out in Halloween costumes to just have one fun night on the town before it was out in the world that we were a couple," explained Meghan. 07 of 08 Matthew Lloyd/Getty Images When Princess Eugenie and Jack announced that they were welcoming a baby in early 2021, a source told PEOPLE that Harry and Meghan, who had announced that they were expecting a baby girl, "sent their congratulations privately" to the parents-to-be. "These times tend to bring families together," a royal insider told PEOPLE at the time. "What is lovely is Eugenie having her baby as Harry and Meghan are having theirs. They are very close." 08 of 08 Mark Cuthbert/UK Press via Getty Images Following the June birth of Meghan and Harry's daughter, Lilibet, Eugenie wrote a heartfelt message to the proud parents. "Congratulations dear cousins.. we couldn't be happier for you all," Eugenie shared on her Instagram Story under a black-and-white photo of the couple.