Hobart-born Mary, 51, kept warm in a navy coat and long pants as she explored the new venue.
The royal, formerly known as Mary Donaldson, completed her ensemble with navy gloves and a grey beanie.
Her hair was styled in loose waves and she opted for a clean makeup palette with rosy cheeks and pink lipstick.
Frederik kept warm in a grey coat, brown pants, boots and a navy scarf as he walked alongside his wife.
The couple were seen visiting the new venue while fans of the royal family gathered at the front.
After their encounter, Fred – who was in Australia to support Denmark’s Olympic sailing team – asked Mary for her phone number and a romance blossomed.
‘The first time we met we shook hands. I didn’t know he was the prince of Denmark. Half an hour later someone came up to me and said, “Do you know who these people are”?’ Mary revealed in an interview about meeting the heir to the Danish throne.
They maintained a long-distance relationship for a year, with Frederik making secret trips Down Under before Mary moved to Denmark to study Danish language at Copenhagen’s Studieskolen in 2001.
In early 2003, Frederik’s mother Queen Margrethe publicly acknowledged the relationship and the couple announced their engagement at Amalienborg Castle later that year on October 8.
Frederik and Mary married on May 14, 2004 at Copenhagen Cathedral, with the newly minted Crown Princess opting for a beautiful gown by Danish designer Uffer Frank and a veil first used by Crown Princess Margaret of Sweden in 1905.
Their first child, Prince Christian Valdemar Henri John, was born October 15, 2005; Princess Isabella Henrietta Ingrid Margrethe followed on April 21, 2007.
Almost four years later Mary and Frederik welcomed twins, Princess Josephine Sophia Ivalo Mathilda and Prince Vincent Frederik Minik Alexander at the Rigshospitalet in Copenhagen on January 8, 2011.