Harry, his wife Meghan and their 7-month-old son Archie will miss Queen Elizabeth II's traditional Christmas gathering at her Sandringham estate.
Palace officials Friday night confirmed Harry's family is in Canada but did not provide details.
Meghan lived in Canada for many years before she married Harry while she was filming the TV series "Suits."
Canadian Prime Minister Justin Trudeau welcomed the family with a tweet.
"Prince Harry, Meghan, and Archie, we're all wishing you a quiet and blessed stay in Canada," he said. "You're among friends, and always welcome here."
The couple is taking a break from royal duties. Harry has said that he and his brother Prince William are going in different directions at the moment.
He has also complained about intrusive press coverage of his young family.