The twins were born on January 8, 2011. Prince Vincent, who arrived 26 minutes before his sister is fourth in line to the Danish throne, while Princess Josephine is fifth.
The new photos come just days after the Danish royals posed for family photos during a holiday in Switzerland.
The family trip marked Prince Christian, 14, Princess Isabella, 12, Prince Vincent and Princess Josephine, both 9, beginning a 12-week spring term on Monday at the Lemania-Verbier International School in Switzerland.
Princess Mary shared further details on the royals' Instagram account.
"With the school stay, the Crown Prince couple wants to give their children a common experience in an international environment," she captioned the family photos.
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 will stay with the children, while Frederik will visit when his schedule allows.