The family was attending a Christmas concert held by the Danish Music Conservatory’s Children’s Choir.
Maths professor John moved to Denmark from Tasmania after his daughter married Crown Prince Frederik in 2004. He is believed to now split his time between countries.
Mary’s mother Henrietta ‘Etta’ Donaldson died from a heart condition two years before Mary married into royalty.
The Princess has previously spoken candidly about how the death of her mother affected her.
"I was 26. It happened too early," Mary said in 2016 of her mother’s passing.
"It's so hard to see when it is so close and so personal, but as you get older, you learn to appreciate the time you had together as a gift.
“And the loss offers something that you wouldn't have otherwise. It makes a strong person."