12:25 PM PT -- We just caught Meghan on her way back into The Mark Hotel after lunch at Cafe Boulud with friends. The day of celebration for the royal and her bump continues!

Meghan Markle's celebrating the upcoming birth of her first child with Prince Harry ... and she's doing it on U.S. soil, baby!! Take that, UK.

We just got a shot of Meghan outside The Mark Hotel Tuesday afternoon in NYC. She held her baby shower there and, as you'd expect, she was flanked by tons of security as she got into a waiting SUV.

As you can see ... Meghan's doing the expectant mommy thing, cradling her baby bump with every step. The Duchess of Sussex is about 7 months pregnant, and she and Harry have been hinting the baby is due in April.

Meghan's flying solo, sans Harry, for this trip. The baby shower could be the last time she sees her friends -- at least stateside -- before she gives birth.