Terry Hutt, 79, from Weston-super-Mare, has been living outside St Mary's Hospital in west London since Monday.
But overnight his Union Jack-themed sleeping bag disappeared when he went to the toilet, leaving him "freezing cold" and "disappointed".
Mr Hutt camped out for 13 days in 2013 awaiting the birth of Prince George.
This year he has taken gifts for the royal family, which he has supported since the age of four, including homemade baby clothes and a moneybox.
Following the disappearance of his bedding he said "some kind person" had given him a thermal blanket, adding: "I have a pensioner's blanket on my knees."
Mr Hutt does not plan to report the theft to police but said he was hoping to buy another sleeping bag later while his wait for baby news goes on.
An elderly royalist who is camping outside the hospital where the Duchess of Cambridge is due to give birth says he has had his bedding "nicked".