Sophie, who serves as the Royal Colonel of the Queen’s Own Yeomanry, donned the regiment’s running fox cap badge as she attended the parade and service in central London on Sunday morning.
The duchess laid down wreaths at the Cavalry of the Empire Memorial, which the parade marches past, 102 years after the monument was unveiled.
The event by the Combined Cavalry Old Comrades Association commemorates members of the UK and Commonwealth cavalry regiments who fell in the First World War and subsequent conflicts.
Both serving and former soldiers of the Regular Cavalry and Yeomanry regiments marched in the parade.
Representatives of the Commonwealth countries Australia, Canada, New Zealand, India, Pakistan and South Africa also attended.
The Indian Cavalry Association, although disbanded, was represented on the parade by their banner.
The duchess then attended an open air church service at the Bandstand conducted by the Chaplain General Reverend Michael Parker.
The Cavalry of the Empire Memorial was originally inaugurated at Stanhope Gate in 1924 by Field Marshal John French, Earl of Ypres, and was moved to its present location in 1961.
The statue is cast from metal obtained from enemy guns captured by the Cavalry during the First World War and depicts St George, the patron saint of cavalry regiments.