The teenager's family say that they will appeal against the ruling.
Dunn's family claimed that Anne Sacoolas was driving on the wrong side of the road on August 27 last year when she hit the teenager on his motorcycle near the RAF airbase in Northhampton.
Sacoolas, whose husband Jonathan worked as a technical assistant at the RAF base, left the UK shortly after the accident. Her lawyer later said she would not return voluntarily to face charges of causing death by dangerous driving.
An extradition request was denied by the British government, which contended that Sacoolas had diplomatic immunity.
Dunn's family had gone to the High Court to challenge the determination of diplomatic immunity. They also alleged the Foreign Office broke the law in advising police that she had immunity.
On Nov. 24, the court ruled in the government's favour, saying that Sacoolas had immunity, that it had not been expressively waived, and that advice given to police was thus correct.
Family spokesman Radd Seiger said Dunn's parents would be appealing against the ruling.
"I promised my boy I would get him justice and that is just what we are going to do. No-one is going to stand in our way." She added, "It's obviously disappointing that this court did not find in our favour but we are more focused now than ever on fulfilling our promise."
Foreign Secretary Dominic Raab said the verdict showed his department had acted lawfully throughout.
"I appreciate that won’t provide any solace to the family in their search for justice," he said. "We stand with them, we’re clear that Anne Sacoolas needs to face justice in the UK, and we will support the family with their legal claim in the U.S."
The family's case centred on a 1995 agreement that grants immunity to administrative and technical staff at the RAF base. The United States had waived immunity in relation to "acts performed outside the course of their duties."
However, Lord Justice Flaux and Mr Justice Saini ruled that under the Vienna Convention on Diplomatic Relations, Sacoolas had diplomatic immunity on arrival in the UK.
Since this had not been "expressly waived," Sacoolas "had immunity at the time of Harry's death," they said.