TMZ published two photos of a naked Harry "during a raging party in a high rollers hotel suite" at the Wynn Las Vegas resort and casino.
"We're told Harry, along with a large entourage, went down to the hotel bar and met a bunch of hot chicks ... and invited them up to his VIP suite," the celebrity news Web site said.
They eventually played strip billiards, a variation of traditional billiards in which players remove clothing when they lose a shot.
"Some of the partiers snapped photos of the madness," the site said of the Friday bash.
In one photo, Harry cups his genitals while a seemingly topless woman in panties stands behind him. In the second, Harry bear-hugs an evidently nude woman from behind.
The site did not identify the women.
Buckingham Palace confirmed the photos are of the 27-year-old younger son of Prince Charles and Diana, princess of Wales.
"Prince Harry has been on a private holiday before he resumes his military duties," a palace official told CNN, a sister news organization to TMZ.
The British newspaper The Daily Telegraph said the incident "risks embarrassing Buckingham Palace and raises questions about the prince's security arrangements."
Harry, officially Prince Henry of Wales, has recently sought to distance himself from his early-20s image as a "playboy," the newspaper said.
He stood in for Queen Elizabeth II at the London Olympics closing ceremony Aug. 12. He was in Washington in May to accept a humanitarian award from former Secretary of State Colin Powell for his work honoring wounded servicemen and women.
In the British Army Air Corps, Capt. Harry is a pilot of a four-blade, twin-engine Apache helicopter and has said he wishes to serve in Afghanistan.
He is a patron of 10 charities.