Their caption read: "In the village of Verbier in the Swiss Alps, Your Royal Highnesses Prince Christian, Princess Isabella, Prince Vincent and Princess Josephine today began a 12-week school break at the Lemania-Verbier International School.
"With the school stay, the Crown Prince couple wants to give their children a common experience in an international environment."
The Swiss school system, which is multilingual, is known throughout the world for their academia and the stay will also help the children's language skills.
Mary, who hails from Tasmania, will stay with the children, while Frederik will visit when his schedule allows.
The picturesque photocall comes after Princess Mary sent a message of support to Australia as bushfires rage across the country.
In an open message posted on the official website of the Danish Royal House, she said she has been updated on the fire crisis through friends and family in Australia.
"In this time of great hardship caused by the ruthless bushfires, my husband and I would like to convey our warmest wishes to the Australian people as we enter a new year," the letter began.
"Our heartfelt condolences to the families who have lost loved ones and our deepest sympathy to the many families who have lost their homes – their livelihoods.
"When the immediate crisis subsides and people can begin to return from where they have fled, our thoughts and concerns will remain with the affected local communities, as it will undoubtedly take great efforts and time for them to rebuild what has been lost."