Anne, the only daughter of the queen and the late Prince Philip, was by her mother's side as the queen's coffin made its journey from Balmoral Castle in Scotland to Edinburgh and then to Buckingham Palace in London.
In Wednesday's procession escorting the queen's coffin from the palace to Westminster Hall, Anne, wearing military dress, was the only female member of the royal family to walk behind the coffin. She will do the same on Monday, when the queen's state funeral is held at Westminster Abbey.
Anne, now 72, is 16th in line to the throne, even though she is the queen and Philip's second-oldest child.
As a woman, Anne was leap-frogged in the line of succession by Andrew and Edward.
She was born decades before a law called the Succession to the Crown Act went into effect in 2013, ending the centuries-old practice of a younger son superseding an elder daughter in the line of succession.
As the princess royal, Anne also has a different title than the ones given to her brothers.
The title of princess royal is typically, but not automatically, bestowed to the eldest daughter of the monarch.
Anne, who was nearly 3 when her mom became queen, has carried the title for nearly her entire life, and she will continue to hold it after the queen's death.
As the father of two sons, Charles will not bestow the title of princess royal during his reign.
Charles' eldest son, Prince William, the heir to the throne, may choose to bestow the title on his only daughter, Princess Charlotte, when he becomes king.
Anne chose not to give her two children, Peter Phillips and Zara Phillips Tindall, royal titles when they were born, an option she would have been given by the queen had she wished to do so.
Anne told Vanity Fair in an interview two years ago to mark her 70th birthday that she thought it was "easier" for her children to go through life without HRH titles.
"I think it was probably easier for them, and I think most people would argue that there are downsides to having titles," she said. "So I think that was probably the right thing to do."
Phillips and Tindall, whose father is Anne's first husband, Mark Phillips, are the only two of the queen's eight grandchildren to not have royal titles.
Tindall, a mother of three, shares a love of horses with the queen and Anne, who competed in equestrian for Great Britain in the 1976 Montreal Olympics.
Tindall competed in the same event at the 2012 London Olympics and won a silver medal, which was presented by Anne.
Phillips, the queen's eldest grandchild, is a father of two.
He walked side by side with his cousins William and Prince Harry in Wednesday's procession for the queen.