Prince Harry and Meghan's daughter was christened on Friday by the Archbishop of Los Angeles, a representative for the couple revealed.
The ceremony was held using her title Princess Lilibet Diana, marking the first time she has been publicly referred to as a princess.
The representative said: “I can confirm that Princess Lilibet Diana was christened on Friday, March 3 by the Archbishop of Los Angeles, the Rev John Taylor.”
Lilibet became a princess when her grandfather ascended the throne and became King Charles III.
It is understood Lilibet's title of princess and the prince title of their son Archie will be used in formal settings, but not in everyday use by the couple.
Reverend Taylor is the Bishop of Los Angeles in the Episcopal Church, which is part of the Anglican Communion.
Prince Harry and Meghan are understood to be keen to not deny their children their birthright, but to allow them the chance to decide for themselves when older whether to drop or keep using the titles.
The christening took place privately at the Sussexes' home in California. It is the first time Lilibet, who turns two in June, has been publicly referred to as an official princess.
No British royals are known to have attended but People magazine, which first reported the christening, said there were up to 30 guests.
Buckingham Palace said the royal website “will now be updated in due course” to reflect the titles.
The use of the titles has been revealed a week after the couple were asked to vacate their UK home Frogmore Cottage, a move sanctioned by the king, which further weakens the couple's ties with Prince Harry's home country and the Windsors.
Title rules set out by King George V in 1917 mean Archie and Lilibet, as the children of a son of a sovereign, automatically became a prince and a princess when Charles became king.
They are also entitled to an HRH style, and although the Duke and Duchess of Sussex retain their HRH styles, they no longer use them.
Meghan, Duchess of Sussex said in the couple's interview with US talk show host Oprah Winfrey that Archie was not given the title of prince because of his race.
However, when Archie was born seventh in line to the throne in May 2019, he was too far down the line of succession. He was a great-grandchild of the monarch, and he was not a first-born son of a future king, so was not automatically a prince.