The couple also pledged to promote diversity behind the camera as their production company gets off the ground.

Meghan Markle and her mom volunteered with the same organization about 20 years ago.

The couple was reported to have relocated to Los Angeles, Meghan Markle's hometown, last week.

"Wherever you are in the world, we are all incredibly grateful," they wrote.

Harry remarked that the "world is a troubled place," adding that it's "being led by some very sick people."

This marks the end of a two-month drama that began when the couple announced they would leave their roles as senior members of the Royal Family.

Many believe Harry and Markle will settle down in either Vancouver or Toronto.

'No assessment has yet been done as to what actually may be or may not be required,' Bill Blair told reporters. "Until that work is done, those decisions remain to be made.'

Experts say the country's media landscape is likely a factor in why the couple picked Canada.

The Queen "would have preferred them to remain full-time working members of the Royal Family," the statement reads.