The 46-year-old wore a soft pink belted coat dress which was embellished with intricate beading.
She accessorised her outfit with a matching pillbox hat, pearl drop earrings and pink leather gloves to help her brave the chilly weather.
Princess Mary and Prince Frederik are in Latvia for two days to celebrate the country's 100th anniversary of independence.
The Crown Prince and Princess of Denmark met with Latvia's President Raimonds Vejonis and Latvia's First Lady Iveta Vejone.
They took part in wreath-laying ceremony at the Monument of Freedom before heading to Riga's National Library for a charity event.