The couple were among the celebrities who attended a VIP night for The Producers at the Palace Theatre, Manchester on Tuesday night (17 March).
Rebecca announced her first pregnancy in December.
The baby is due in June.
Rebecca and Harry married in September 2014 and have said they think their baby was conceived on the first night of their Italian honeymoon!
Earlier this month, former swimmer Rebecca was among many who marked International Women's Day.
She said on 8 March: "Today is International Womens Day. From my olympic medals to becoming a business woman its been an incredible journey. My mum has been my inspiration and if im half as good of a mother as she is then i will be doing well! #womensday (sic)."
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