The 29-year-old came face to face with two muggers as she and her boyfriend were walking their dog on Monday night. The two men, one armed with a gun, demanded cash and jewellery before suddenly fleeing empty-handed.
Scotland Yard confirmed that an incident involving two male suspects with a gun took place in Ivor Place, Marylebone, which is near Kathryn's townhouse.
"We were alerted at around 8.30pm to two robberies in the street in the Marylebone area...We believe both robberies were carried out by the same male suspect though on the second occasion he was accompanied by another individual," a spokesperson said.
"Neither of the two victims were injured. A firearm was shown on each occasion though no shots were discharged. Officers are investigating both robberies. There have been no arrests at this stage. We believe nothing was stolen in one of the robberies. We are still investigating the details of the other," he added.
The former prime minister's daughter and her partner were said to be shocked but unhurt.
The pair had spent the weekend with her father Tony and mother Cherie in Buckinghamshire for her brother Euan's wedding to Suzanne Ashman.