Sophie, 36, made unguarded comments about senior politicians and members of the royal family during a secretly taped conversation with two News of the World reporters posing as an Arab sheikh and his aide.
The countess was forced to resign from R-JH - the PR firm she founded - after revelations were made in a Sunday newspaper about comments she made to an undercover reporter.
She refused to comment to waiting reporters as she arrived at R-JH's Mayfair headquarters .
Buckingham Palace is rethinking its guidance on the business affairs of working royals.
The Queen gave her full support to Sophie and her husband Edward, the Earl of Wessex, in their desire to pursue working careers despite their status.
But some Labour backbenchers have suggested the episode shows the need for a wider debate about the role of the Royal Family, though Downing Street said the prime minister was firmly behind the monarchy.
New guidelines
Suggestions that Number 10 had encouraged Labour MPs to launch a debate on the future of the royal family were dismissed as "total nonsense" by Tony Blair's office.
But Labour backbencher Dr Tony Wright said the time had come for the establishment of a body to review the future of the institution.
Buckingham Palace said new guidelines would be drawn up to regulate the way in which the working royals conduct their business lives, to ensure they cannot be accused of exploiting their royal position.
Prince Edward, 37, runs a television production company called Ardent, which he formed in 1993.
A Palace statement said the Queen supported the Earl and Countess of Wessex in their dual roles as a career couple and members of the Royal Family.
"It is not an easy option and they are breaking new ground, but it is right in this day and age that they should be allowed to do so," it said.
'Entrapment'
The Queen also strongly defended the countess, attacking the "entrapment, subterfuge, innuendo and untruths" that she and her husband had been subjected to.
Sophie, 36, made unguarded comments about senior politicians and members of the royal family during a secretly taped conversation with two News of the World reporters posing as an Arab sheikh and his aide.
After a week of mass press speculation about the details of her remarks, the countess stepped down from R-JH when the NoW published a full transcript of the conversation.
Her business partner, Murray Harkin, also resigned as managing director of the company and is taking a break from business.
The newspaper alleged that he admitted to occasional drug use.
Formal complaint
The firm is to be restructured, and a statement from Sophie suggested that she would return once issues surrounding her role were resolved.
In the statement she said: "I am deeply distressed by the carrying out of an entrapment operation on me and my business but I also much regret my own misjudgement in succumbing to that subterfuge.
"This has been a difficult time for me. I take very seriously the issues raised, and, naturally, regret any embarrassment above all to the Queen."
The Press Complaints Commission said that if the Palace was concerned there was no public interest in the paper's methods then it could make a formal complaint.