The prince scored a game-tying goal in the match to benefit Sentebale, the charity he co-founded to help poor children and AIDS orphans in the small African nation of Lesotho.
"Thank you for a wonderful week," Prince Harry said in a speech before taking to the manicured field at the Greenwich Polo Club. "I have witnessed the extraordinary generosity of the people of this great nation."
The match drew an invitation-only crowd of about 400 including supermodel Karolina Kurkova and fashion designers Jason Wu and Valentino, who posed for pictures on a red carpet at the club on their way to lunch with the prince.
"Is the sun coming out?" Kurkova asked as she posed in a light rain.
Greenwich, a New York City suburb, ranks among the wealthiest towns in America and is hardly unaccustomed to fanfare. But for some, the royal visit of the 28-year-old prince still was cause for celebration.
At the Atelier360 shop on Greenwich Avenue, the company was holding a party with tea and cucumber sandwiches. Co-owner Veronique Lee said British designers are well represented at the boutique, which sells items including hand bags, flasks and cuff links.
"We like royalty. What can you say?" Lee said. "We're having a lot of fun here."
The polo club, founded by billionaire Peter Brant in 1981, has hosted other British royals including the Duke and Duchess of York, Prince Andrew and Sarah Ferguson, in 1987 and Torquhil Campbell, the Scottish Duke of Argyll, in 2012. Brant said Wednesday that Harry's father and grandfather were good players and he was excited to watch Harry play at his club.
"It's a great honor," he said "It's great for polo."
Dressed in a navy-colored suit, white shirt and no tie, the prince arrived at the club in the late morning and was greeted by Brant and his wife, model Stephanie Seymour. They viewed a selection of art from the Brant Foundation Art Study Center as well as some paintings owned Brant, including some pieces by Andy Warhol, in the club's entrance hall.
After trying his hand at baseball in New York City on Tuesday, Harry showed his athleticism playing "the sport of kings." Harry scored a goal to tie the polo match at 3-3, and his team went on to a 4-3 win. Dawn Jones, the wife of actor Tommy Lee Jones, scored for the opposing team and was named most valuable player.
Connecticut Gov. Dannel Malloy was not among the invited. "He's more of a hockey guy, anyway," Malloy spokesman David Bednarz told the Greenwich Time.
Prince Harry also touted the work of Sentebale and thanked people for their support of the charity. Sentebale - which means "forget-me-not" - is a charity founded by Harry and Lesotho's Prince Seeiso that helps children struggling with poverty in the tiny southern African country.
"The HIV pandemic continues to leave thousands of children without parents and family structures to guide them through life," the prince said. "Without this support, basic needs such as food, shelter and care remain unmet, leaving children vulnerable and very often without much hope in their lives."
On his last U.S. visit, the third-in-line to the British throne stormed into the headlines last year when he was caught frolicking in the nude with a woman after an alleged game of strip billiards in his Las Vegas hotel room.
The Greenwich visit struck a lighter tone than his stop the previous day in New Jersey, where he toured two shore communities devastated by Superstorm Sandy.
New Jersey Gov. Chris Christie showed the prince a spot in Mantoloking where the sea had cut the town in half, taking out a bridge and houses. The channel has since been filled in. Every one of the wealthy town's 521 homes was damaged or destroyed. Scores remain as piles of rubble.
"This used to be a house?" Prince Harry asked at one barren spot.
The prince said he was impressed to see "everyone getting together and making things right."
He also spent Tuesday in New York City at events promoting tourism, entrepreneurism and philanthropy.
The prince, the son of Prince Charles and the late Princess Diana, began his visit to the U.S. on May 9. He is third in line to the British throne, after his father and older brother, Prince William.
Associated Press writer Angela Delli Santi contributed to this report from Seaside Heights, N.J.