The private ceremony, which was attended by over 60 guests, saw Australian-born Mary attend with her husband, heir Crown Prince Frederik and the couple's children.
Later, hundreds lined the streets of downtown Copenhagen to watch military officers carry away Henrik's coffin, draped in a Danish flag with his personal coat of arms.
The royal palace has respected the wish of French-born Henrik to be cremated.
Henrik passed away at the age of 83 on February 13.
He was diagnosed with dementia last year and was hospitalised in January with a lung infection.