The Daily Mail has reported that the couple is expected to move out of the farmhouse by March.
According to reports, Markle, 37, and Harry, 34, took a two-year lease on the rustic home, for more than $3 million in U.S. dollars, before their May 2018 wedding.
Sources have said that with a baby on the way, the couple simply can't afford it anymore.
A Mail insider said that Harry and his former Suits star wife have been struggling to pay for the upkeep of two properties.
British taxpayers will pay most of the cost but sources have noted that Harry and Meghan are having to shell out for all the fixtures and fittings themselves.
News of quitting the Cotswolds came as a shock as it was expected they would keep it -- as they also move from London to Windsor this spring.
Their baby is due in April, and the royal pair is swapping their two-bedroom cottage at Kensington Palace for a ten-bedroom mansion in Windsor Castle.
At Kensington, Harry and Meghan lived with his brother Prince William and his wife Kate Middleton.
While taxpayers will shoulder the bulk of the bill for Harry and Meghan's homes, they are reportedly paying for all the fixtures and fittings themselves.
Still, another source told the Mail that security was a bigger concern than finances.
The Cotswolds' home is owned by multi-millionaire Nicholas Johnston and was renovated from a decaying farmhouse to a lavish country estate.
But there are reportedly security issues with the site and so Harry and Meghan are saying goodbye to it.
Will new diva rumors swirl around the Duchess, however, in the wake of the news?
Radar readers know that critics have ripped Meghan for her alleged problematic ways as a new royal.
Royal correspondent Richard Palmer has written, "It is clear that Meghan is regarded as difficult and demanding by some in the family and on the staff."
The fact that Markle and Prince Harry will no longer be living near Prince William and Middleton caused talk that the move out of Kensington Palace was the former Suits star's idea because of a feud between the women.