Britain's Prince Harry and his wife Meghan want to keep the arrival of their baby later this month "private", Buckingham Palace said in a statement on Thursday.

This would contrast with the births of the three children of his brother Prince William and his wife Kate, immediately after which the babies were shown off by the couple in front of the world's media.

"The Duke and Duchess of Sussex are very grateful for the goodwill they have received from people throughout the United Kingdom and around the world as they prepare to welcome their baby," the statement said.

"Their Royal Highnesses have taken a personal decision to keep the plans around the arrival of their baby private.

"The Duke and Duchess look forward to sharing the exciting news with everyone once they have had an opportunity to celebrate privately as a new family," it said.

Some British media have reported that the royal couple are considering a home birth, which would also break with the tradition followed by William and Kate of giving birth in the private wing of St Mary's Hospital in London.

A source quoted by The Sun said the couple wanted a "more private" setting.

"She just wants a normal, natural birth and to bond with her baby, without being primped and blow-dried to within an inch of her life just for the pictures," the source told the paper.

Harry and Meghan currently live on the grounds of Kensington Palace in London, the residence of William and Kate. They are planning to move to Frogmore Cottage in Windsor ahead of the birth, media reports said.