The Duke and Duchess of Cambridge walk into Lambrook School alongside Prince George, 9, Princess Charlotte, 7, and Prince Louis, 4.
CNN  — 

Prince George, Princess Charlotte and Prince Louis, the children of the Duke and Duchess of Cambridge, arrived for their first day at a new school on Wednesday.

They were accompanied by their parents for a “settling in afternoon” at Lambrook School, a prestigious fee-paying school near Windsor, according to a statement from Kensington Palace.

Catherine, the Duchess of Cambridge remained in Windsor as her children started their first full day at their new school on Thursday, Kensington Palace said in a statement.

Her husband, Prince William, traveled to Balmoral Castle in Scotland on Thursday, along with other members of the royal family, amid concerns for the Queen’s health.

Buckingham Palace said Thursday that the 96-year-old monarch was advised to remain under medical supervision because of the doctors’ concerns.

Lambrook School is described on its website as a "leading coeducational Prep School for 615 boys and girls aged 3 and 13, set in 52 acres of beautiful Berkshire countryside."

On Wednesday, Prince William and Catherine walked into the school alongside their children, before being greeted by the school headmaster, Jonathan Perry.

“Welcome to Lambrook,” Perry said to the children, reports the PA Media news agency. “It’s lovely to have you with us. We’re very excited for the year ahead.”

He shook each of their hands and asked: “Are you excited?”

“Yes,” they replied, PA reports.

“We’re looking forward to it,” William said, adding that the children had “lots of questions.”

Perry (left) said he is "very excited" to be welcoming the Cambridge children to Lambrook School.

George and Charlotte used to attend Thomas’s Battersea, a fee-paying school in south London.

The decision to move the children’s school was announced by Kensington Palace in August.

At the time, a royal source told CNN that the Cambridges were moving out of London during school term time to give their children a “normal” family life.

They are living in Adelaide Cottage, a four-bedroom house in the grounds of Windsor Castle, Berkshire, about 25 miles from London.

The royal source told CNN that the move will allow William and Catherine to be “active parents in a busy school.”

“They want to be as normal a family as possible,” the source added.

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CNN’s Max Foster, Niamh Kennedy and Lauren Said-Moorhouse contributed reporting.