The royals attended the funeral of Per Thornit, the former Chief of Court for Denmark's royal family, at Holmens Church in Copenhagen on Thursday.
As they arrived at the service, they were each seen comforting Per's widow, Ulla.
And in a photograph published by Billed Bladet , Frederik, 56, and Joachim, 55, were also spotted embracing one another, while Mary and Marie exchanged warm glances.
Mourners at the service were respectfully dressed in black with Mary, 52, wore a blouse, a pleated skirt and a wide-brimmed hat, while her sister-in-law Marie, 48, donned a trouser suit.
Mary was also seen sporting a plaster on her chin, with the Danish royal palace confirming to Billed Bladet, that the queen caught it while out horse riding.
Per Thornit, who died on 30 July 2024 aged 82, was a former Danish Lord Chamberlain before he became Frederik's head of court when he was Crown Prince.
Joachim and Marie currently reside in Washington D.C. where Joachim works as the defense industry attaché at the Danish Embassy. Prior to that, they lived in Paris, where Marie was born.
Last weekend, Joachim, Marie, Henrik and Athena attended the Copenhagen Grand Prix, while Nikolai watched his girlfriend, Benedikte Thoustrup, make her debut on the runway at Copenhagen Fashion Week.
Both Nikolai and Felix, whose mother is Joachim's ex-wife, Alexandra, Countess of Frederiksborg, both have modelling contracts of their own.
Mary has been among the spectators at the dressage, handball and swimming events, while Frederik has cheered on athletes in basketball, badminton, athletics and tennis.
The king and queen's son, Crown Prince Christian, 18, has been acting as regent while his parents have been out of the country.
Christian graduated from high school earlier this summer. Frederik and Mary are also parents to Princess Isabella, 17, and 13-year-old twins, Prince Vincent and Princess Josephine, who joined them on their tour of Greenland in July.
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