The operation to defend the mounted regiment - the oldest and most senior in the British Army - comes as thickets of metal and concrete barriers spring up across central London to protect the public from the Westminster Bridge-like attack which claimed four lives last month.
Police were escorting the Household Cavalry last week during the daily changing of the Queen's Life Guard, The Sunday Times reported.
Armed response vehicles drove in front of and behind the main procession of mounted soldiers as they rode from Hyde Park Barracks to Horse Guards Parade and then - after the change of guard - up the Mall towards the Buckingham Palace.
The hourly change of the Household Cavalry sentries on Whitehall, a major tourist attraction, is also supervised by armed police with assault rifles.
The increased protection is believed to be a precautionary measure rather than a response to specific intelligence.
The Household Cavalry, consisting of the Life Guards and the Blues and Royals regiments, have stood at Horse Guards Parade near the Palace since the Restoration of Charles II in 1660, and their ceremonial duties draw thousands of tourists each day.
The mounted soldiers are battle-hardened troops who have served in Iraq and Afghanistan. Prince William and Prince Harry have both been officers in the Blues and Royals.
Armed police patrols also operate on all public entrances to Parliament, including the carriage gates that Khalid Masood entered last month before killing a police officer with a knife.
The attack was among a string of recent the Islamic State terror outfit inspired massacres involving cars and lorries in the European cities, including Nice, Berlin and Stockholm.
The threat of another such attack has led to the installation of "heavy vehicle mitigation barriers" in vulnerable locations. The longest is near Green Park on Piccadilly in central London.
The Metropolitan Police said it did not comment on security matters.