The Princess of Wales Memorial Playground is located in Kensington Gardens, just a few yards from Kensington Palace where Kate and William have a luxury apartment.
Princess Diana passed away in 1997, and the memorial playground was opened in her honour on the eve of her birthday three years later.
"They had three protection officers with them but Kate seemed oblivious to anyone except her gorgeous baby enjoying himself."
The playground was built to commemorate Diana's love of children. According to Hello! Magazine, it's based on the story of Peter Pan, and sits on a site of a previous playground funded by the author of the children's classic, JM Barrie.
The park promotes a "natural play" concept and includes a pirate ship and a wigwam.
Meanwhile, last month it was revealed that Prince George has been having swimming lessons at Buckingham Palace.
A source told the Daily Mail: "The Duchess brings him up to the palace every week now."
Not a bad spot to take a dip.
CAN'T GET ENOUGH OF KATE? Discover more cute pics of the duchess and Prince George during their Royal Tour of New Zealand and Australia earlier this year: