Fearne was spotted clutching a rather full Marks and Spencers' bag, while Jesse walked alongside with his own carrier slung over his shoulder.
This will be the couple's first Christmas together as husband and wife, having married in a romantic and surprise ceremony in July. Aww!
Earlier today, Fearne told fans that she was trying to explain to their 22-month-old son Rex who Father Christmas is.
It's a pretty big day for the Cotton-Woods, as they are off to meet Santa himself, so it is important for Rex to know who he is!
However, she told her Instagram followers: "Ahead of our meet with the big man today I'm trying to explain him to Rex.
"It's being met with confused looks so far..."
Fearne and Jesse - who is the son of Rolling Stones star Ronnie Wood - welcomed Rex into the world in February 2013.
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