The letter was received at St. James's Palace in central London earlier this month. The powder inside the letter was found to be harmless after being examined by experts, the Evening Standard reported on Thursday.
The letter is understood to have contained a racist message, reports said. Ms Markle, a successful actor, is from a mixed-race background. The letter was intercepted before it reached the couple.
Ms Markle, 36, and Prince Harry, 33, had been informed of the suspicious package.
The couple are due to be married in May. The letter was received at the palace on February 12 before a package containing white powder also prompted a scare at the Palace of Westminster.
The police was trying determine if the same person or people were responsible for sending both the letters.