Cressida Bonas, who was first linked to the royal in July, told friends that she feels "humiliated" after nude pictures of Harry and a mystery woman emerged.
Bonas had joined Harry on a holiday to Richard Branson's Necker Island before he flew to Vegas.
"Harry has blown it. Cressida saw a future with Harry but then he went and embarrassed her like he did in Vegas," a friend told the Sunday Mirror.
"He clearly isn't as serious about her as he had claimed to be in Necker and it's highly embarrassing. He's ruined his chances now. She's humiliated."
Meanwhile, a US PR company told the newspaper that one of the women who partied with Harry will appear on TV within the "next few days", following reports that she is close to signing a $1 million (£630,000) deal.
The woman has apparently hired a PR fixer who has previously set up deals for people with stories on Charlie Sheen, Michael Jackson and Whitney Houston. She has also vowed to take a lie detector test.
Sources added that Harry will be summoned to meet with his Commanding Officer when he returns to Army duty. He is due for a tour of Afghanistan as an Apache pilot, but could be stopped from going if bosses believe he isn't "mature enough".