Never-before-seen video has surfaced of Prince Andrew staying at the New York home of convicted paedophile Jeffrey Epstein in 2010 - two years after the financier was convicted of child sex crimes.

In the footage, the Duke of York - then the UK's Special Representative for International Trade – is seen talking to a young woman at the door of the $120 million mansion.

Less than an hour earlier Epstein, who had been convicted of sex with a child in 2008, left the house in the company of a young blonde woman, the Daily Mail reported.

Jeffrey Epstein is seen leaving the mansion with a young woman in the footage. Photo / Supplied

The video was shot on December 6, 2010, during a visit by the Prince to Epstein's nine-storey 21,000 square foot mansion dubbed the 'House of Horrors' by many of his young victims.

Epstein, 66, died by suicide last weekend while awaiting federal trial for sex trafficking.

The Department of Justice has launched an investigation into how Epstein was able to die in New York's highly secure Metropolitan Correctional Center (MCC).

In 2010, Epstein was on a child sex offender register.

The Duke has denied claims by Epstein's alleged "sex slave" Virginia Roberts that she had sex with the Prince on three occasions, the first when she was 17 and once at the US millionaire's Manhattan mansion, the setting of these pictures.

Her allegations, submitted to a court in 2014, were later thrown out by a judge who ordered them to be struck from the record as "immaterial and impertinent".

Buckingham Palace has repeated its denial of wrongdoing by the Prince.

"Any suggestion of impropriety with underage minors is categorically untrue. It is emphatically denied that the Duke of York had any form of sexual contact or relationship with Virginia Roberts," it said.

"Any claim to the contrary is false and without foundation."

The Queen also made a public show of support by allowing Prince Andrew to sit next to her as they were driven to a church service near Balmoral last Sunday.

However, the images place the Prince inside the private, inner sanctum of Epstein, who continued to abuse young girls even after a controversial 2008 plea deal that saw him serve just 13 months.

"The Prince looked entirely at ease in Epstein's house," a source told The Mail on Sunday.

"There were girls coming and going. One, who came out of the house with Epstein about an hour before Prince Andrew said goodbye to the brunette, was tiny and shivering.

"It was a particularly cold New York December day. What I remember most is the constant procession of girls and women going to and from the house.

"It was chilling to see. Everyone knew by that point that Epstein was a convicted paedophile, yet he was flaunting his lifestyle in plain sight.

The Duke, for a split second, glances around the door before closing it. Photo / Supplied

"When the Prince came to the door I was stunned. He looked totally at ease. He said a few words to the girl, who was very pretty, and then she walked off down the street in the direction of Central Park.

"If I hadn't known it was Prince Andrew, I would have thought he owned the place. He looked so comfortable and relaxed as he stood there at the door.

On December 6 2010, paedophile Jeffrey Epstein was seen leaving his home before Prince Andrew was also spotted inside. Photo / Supplied

"He didn't appear to have a concern in the world as he smiled and waved goodbye to the girl.

"It was only as the girl walked off that he glanced around the door frame, almost as if to check no one was watching."

Inside the infamous mansion, Epstein reportedly displayed his taste for bizarre, often risque artworks and furnishings.

On a wall in the hall was a bizarre portrait of former US President Bill Clinton in red heels and the infamous stained blue dress worn by Monica Lewinsky when she performed a sex act on him.

A chandelier had a "life-size female doll hanging from it", and one woman who claims to have been assaulted by Epstein said a bathroom had prosthetic breasts on the wall "so he could play with the nipples as he took a bath".

Epstein's "pride and joy" was a large "human chessboard" at the bottom of the main staircase which had customised figurines modelled on his female "staff members wearing suggestive clothing".

There was the life-size statue of a naked African warrior. Not to mention the "leather room".

When the FBI raided the house last month, it reportedly found thousands of indecent images of under-age women on computer hard drives locked in his office safe.