The couple are thought to have come from the Middleton family home in Bucklebury, about 55 miles west of London, so they can be closer to the private Lindo Wing of St. Mary's hospital, where Kate expects to give birth.
Their office will not confirm the couple's whereabouts but says they will only do so when Kate, 31, has entered the hospital.
St. Mary's is just two miles from their home at Nottingham Cottage within the Kensington Palace compound.
Despite reports on Friday that the royals had left Bucklebury, police protection officers were back at the gates of the Middletons' manor house in the late evening.
But there is no visible security at the home on Saturday.
William is now using up vacation time rather than going back to North Wales for his next round of shifts as a helicopter rescue pilot. He is expected to be on parental leave once the baby is born.
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