The Prince of Wales and the Duchess of Cornwall had escorted the king and his wife from their London hotel to Horse Guards Parade, arriving in chauffeur-driven limousines.
Both royal lines are descended from Queen Victoria.
The mother of two showed off a bit more skin than usual while rocking a V-neck Marchesa gown at the state banquet for the visiting royals, King Felipe and Queen Letizia of Spain, at Buckingham Palace on Wednesday. She attended the ceremony with Home Secretary Amber Rudd.
"I invite the United Kingdom, on this first occasion at the UN after Brexit, to end the colonial anachronism of Gibraltar with an agreed solution between both countries to restore the territorial integrity of Spain", he added.
They will then visit Exeter college, where a professorship in Spanish is named after Felipe's great-grandfather, Alfonso XIII, and meet Spanish students and academics.
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It is the first state visit to Britain by Spanish royals in 31 years.
Felipe is expected to speak about Gibraltar when he addresses Parliament later Wednesday.
He said: "What the king has said harks back to a time when the governments in Madrid and London might have made decisions over the heads of the people of Gibraltar".
The EU and Britain have yet to agree on guarantees for EU citizens living in Britain and British expats living in other EU countries.
With a population of around 30,000, Gibraltar was ceded to Britain by Spain under the treaty of Utrecht in 1713.
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King Felipe raised the thorny issue as he addressed MPs and peers at the Royal Gallery in the Houses of Parliament, outside which the flag of Gibraltar was on display in Parliament Square.
Image copyright EPA Image caption King Felipe inspected the guard of honour with Prince Philip.
The VIP visitors enjoy a military ceremonial welcome on Horse Guards Parade to mark the start of their visit to Britain.
The 49-year-old, who is a towering 6ft 5in tall, came to the throne three years ago when his father Juan Carlos, now 79, abdicated after 40 years as king following ill health and damaging scandals.
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