Harington, 32, wore a black jacket with navy blue scarf while Leslie, 32, bundled up in a multi-colored coat for the event.
The outing marked the first time the couple has been photographed together in almost six months.
Earlier this year, Harington’s rep confirmed to PEOPLE that ahead of the series finale of Game of Thrones, the actor decided to “utilize this break in his schedule as an opportunity to spend some time at a wellness retreat to work on some personal issues.”
A source previously PEOPLE that Harington struggled with his status as an A-list star after shooting to fame on the beloved fantasy series.
“For 10 years, Kit was almost interchangeable with Jon Snow, and fully inhabited this intense character,” the source said. “The role and especially the level of fame he was thrust into was a lot for someone so young and just out of drama school.”
“Ultimately, now that he has that break and has said goodbye to Jon Snow, he needed help to figure things out and be himself — to just be Kit,” the source added.
A second source told PEOPLE that Harington had “the right attitude on self-improvement” as he sought help.
“There is no stigma in going to rehab, and he will come out in much better shape,” the source said. “With the proper help, he [will] stay in good mental condition, and can get a grip on what’s next.”
Harington was spotted out and about in North London in June. Later that month, a source told PEOPLE the Death and Life of John F. Donovan star had been spending quality time with Leslie following his treatment.
“The two are enjoying the summer, spending time with family and friends,” said the source. “Kit seems well. And Rose seems happy that he is back in London. While he was in Connecticut, she was laying low. It seemed their focus was just getting Kit feeling better. And he does look better. Kit and Rose seem happy.”
The source noted that the couple, who have been married for more than a year, “were together in England for their wedding anniversary” on June 23. The duo famously portrayed star-crossed lovers on the Emmy-winning HBO series.
In September, Harington attended the 2019 Emmy Awards alone while Leslie was absent from the ceremony due to prior work commitments.
On Monday, Harington found out he was nominated for a Golden Globe for best actor in a television series, drama — the only nomination Game of Thrones received for its eighth and final season. The Golden Globes nod comes after Harington was nominated in the same category at the Emmys in September.
“I’m the ‘loner Throner,’ it seems,” he told The Hollywood Reporter about his nomination. “I just imagine myself sitting down at a table all by myself as the ‘loner Throner!'”