The coupleĀ ended their three-week vacation to Africa with a visit to one of the most romantic places on the continent

Do go chasing waterfalls!

Prince Harry and Meghan Markle ended their three-week vacation to Africa with a visit to one of the most romantic places on the continent.

The couple left Livingstone, Zambia, on Monday after several days in a safari lodge close to the spectacular Victoria Falls, known as the “smoke that thunders.”

Like their trip to neighboring Botswana, their stay was intensely private, with officials and local hotel and safari staff sworn to secrecy.

The couple headed to Botswana shortly after Markle’s 36th birthday on August 4.

Locals believe the couple stayed at an exclusive lodge on the Zambezi river.

The couple were taken directly to their plane at Harry Mwaanga Nkumbula International Airport in a shuttle bus, and no pictures were allowed to be taken, a source tells PEOPLE.

“It was a very, very private visit,” the source adds. “They stayed at a beautiful lodge in Livingstone.”

Credit: From Left: Derek Storm/Splash News; Karwai Tang/WireImage

The source couldn’t confirm local reports that the couple took a helicopter ride over Victoria Falls, which are said to be among the seven wonders of the world and a must-see for any visitor to the area.

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Harry is due back in the U.K. this week in time to help mark the 20th anniversary of the death of his mother Princess Diana. On Wednesday, he will join brother Prince William and sister-in-law Princess Kate to tour the public garden at Kensington Palace that has been planted with special white blooms to commemorate the princess and meet with representatives from the charities that Diana was closely associated with at the time of her death.