The Sussex baby was born at 5.26am this morning and weighs 7lbs 3oz.
The baby's sex was a surprise for the delighted couple, who chose not to find out what they were having.
The newest addition to the Windsor family is a first cousin of the Duke and Duchess of Cambridge's children, Prince George, Princess Charlotte and Prince Louis, and a fourth grandchild for the Prince of Wales.
Baby Sussex's arrival comes less than a year after Harry married American former Suits actress Meghan in a glittering ceremony in St George's Chapel, Windsor Castle.
Speaking from Windsor, the Duke of Sussex said: "I'm very excited to announce that Meghan and myself had a baby boy this morning, a very healthy baby boy."
He said: "It's been the most amazing experience. We are both absolutely thrilled and grateful to the support from everybody out there."
Prince Harry said they were still thinking about names but would show off their baby to the world in the two days' time.
The Duke of Sussex added: "It's absolutely incredible and I'm so incredibly proud of my wife."
Harry, who was present for the birth, said his son was "absolutely to die for...I'm absolutely over the moon".
The royal couple are currently at their new home, Frogmore Cottage, close to the Queen's Windsor Castle home.
The Duchess’s mother, Doria Ragland, who is overjoyed by the arrival of her first grandchild, is with the royal couple at Frogmore Cottage.
Sources close to the family said Ms Ragland wanted to be by her daughter's side for the event.
Ahead of the birth, Harry and Meghan made a personal decision to keep their arrangements private, amid speculation they had opted for a home birth at Frogmore Cottage.
They also said they would only share the news of the baby's arrival once they had had a chance to celebrate privately as a family.
Reports had previously suggested Meghan could opt for the Kensington wing of the Chelsea and Westminster Hospital where pals George Clooney's wife Amal had their children or an NHS hospital in Surrey, the Frimley Park hospital which is just 15 miles away from their home.
The Sun on Sunday revealed April 28 was Meghan's official due date - but Prince Harry, 34, surprised fans when he arrived at the London Marathon last week to hand out medals.
But Harry was forced to cancel part of a planned trip to the Netherlands this week amid rumours Meghan's first baby was due last weekend. The duke has an official visit to The Hague scheduled for Thursday when he is due to launch the one-year countdown to the Invictus Games 2020.
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