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6 year oldMs Markle is on her way to St George's Chapel, where members of the Royal Family have taken their seats.
Among the 600 guests are Oprah Winfrey, George and Amal Clooney, David and Victoria Beckham and Sir Elton John.
The ceremony will begin at noon, before the newly-married couple travel through the town.
Prince Harry has been made the Duke of Sussex by the Queen, with Ms Markle becoming the Duchess of Sussex.
The prince, who is sixth in line to the throne, also received the titles Earl of Dumbarton and Baron Kilkeel.
Thousands of well-wishers are arriving in Windsor, while hundreds more camped out overnight to secure the best viewing spot.
Prince Charles will walk Ms Markle down the aisle, after her father, Thomas, was unable to attend for health reasons.
On the eve of their wedding, Prince Harry, 33, told crowds in Windsor he was feeling "relaxed" and Ms Markle, 36, said she was feeling "wonderful".
In her vows, Ms Markle will not promise to "obey" her husband and Prince Harry has chosen to have a wedding ring.
Prince Harry's ring will be a platinum band with a textured finish and Ms Markle's has been made from a piece of Welsh gold, Kensington Palace said.
Celebrity attendees include tennis star Serena Williams, TV personality James Corden, singer James Blunt, actor Carey Mulligan, rugby star Jonny Wilkinson.
Prince Harry's uncle, Earl Spencer, the Duchess of York, Sarah Ferguson, and the Duchess of Cambridge's sister Pippa Middleton, have also arrived for the service.
Politicians, including Prime Minister Theresa May, were not invited, as the wedding is not a state event.
But the former Prime Minister, Sir John Major, is among the invited guests.
About 1,200 members of the public - many who are recognised for their charity work - have been invited into the grounds of Windsor Castle for the wedding.
My very best wishes to Prince Harry and Meghan Markle on their wedding day. To all of those joining the national celebration with street parties and other events, have a wonderful day. #RoyalWedding
— Theresa May (@theresa_may) May 19, 2018
This is a very different royal wedding.
It's different because of the style of the arrangements for the day itself.
From small things, like the cake (not a traditional big heavy fruitcake covered with bullet-proof icing), to bigger things, like a gospel choir performing at the service.
To more remarkable decisions, like the invitation to 1,200 members of the public to enjoy the occasion in the grounds of Windsor Castle.
After the death in 1997 of Prince Harry's mother, Diana, Princess of Wales, she was described by the-then Prime Minister Tony Blair as "the people's princess".
This may not be "the people's wedding", but it is about as close to it as any royal wedding has got.
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