The Duchess of Sussex and Princess Eugenie have been in contact throughout their pregnancies, a source recently said
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Princess Eugenie, prince harry, meghan markle
Princess Eugenie; Prince Harry and Meghan Markle
| Credit: Dave Benett/Getty; Karwai Tang/WireImage

Meghan Markle's friendship with Princess Eugenie dates back to before her relationship with Prince Harry.

During her sit-down interview with Oprah Winfrey that aired on Sunday, the Duchess of Sussex shared new details about meeting members of the royal family for the first time — and revealed that she knew Harry's cousin before they started dating.

"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."

For more on Prince Harry and Meghan Markle's interview with Oprah, listen below to the episode of PEOPLE Every Day.

In the early days of Meghan and Harry's relationship, Eugenie and her now-husband Jack Brooksbank went on double dates with Harry and Meghan and also visited Toronto, Canada, to see the couple when the prince traveled to see Meghan during her time on Suits.

Princess Eugenie & Jack Brooksbank with Prince Harry & Meghan Markle
Jack Brooksbank & Princess Eugenie; Meghan Markle & Prince Harry
| Credit: Getty Images (2)

Rumors of tensions between the couples spread after Princess Eugenie and Jack's October 2018 wedding. According to the book Finding Freedom: Harry and Meghan and the Making of a Modern Royal Family, Meghan and Prince Harry shared the news that they were expecting their first child with family and friends on Eugenie's big day. The pregnancy was officially announced three days later on the Kensington Palace social media accounts as the Duke and Duchess of Sussex embarked on their royal tour of Australia, New Zealand, Fiji and Tonga.

"It did not go down particularly well with Eugenie, who, a source said, told friends she felt the couple should have waited to share the news," according to authors Omid Scobie and Carolyn Durand.

Princess Eugenie
Jack Brooksbank and Princess Eugenie
| Credit: Steve Parsons /Getty

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However, Princess Eugenie and Prince Harry have always shared a unique bond.

"Eugenie had always been more than just a cousin to Harry. They were also the closest of friends," according to the book. "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."

"Harry had always confided in his cousin when it came to the women in his life," they added. "Not only did he trust her implicitly, but friends say that she gives great advice and has always been 'beyond wise' for her years."

Last year, Princess Eugenie and Jack moved into Meghan and Prince Harry's U.K. home, Frogmore Cottage in Windsor.

"Frogmore Cottage continues to be the Duke and Duchess of Sussex's residence in the U.K.," a source told PEOPLE, "and they are delighted to be able to open up their home to Princess Eugenie and Jack as they start their own family."

And when Eugenie and Jack welcomed son August in February, they brought him to Frogmore Cottage to start their lives as a family of three.

Just days after August's birth, Meghan and Prince Harry announced their own baby news — that they were expecting their second child, which they revealed on the Oprah interview is a girl.

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Insiders recently told PEOPLE that the couples are close and have been in contact throughout their respective pregnancies.

"These times tend to bring families together," a royal insider added. "What is lovely is Eugenie having her baby as Harry and Meghan are having theirs. They are very close. And they are all deciding to go their own route."