The Royal Head of Communications Lene Balleby confirmed their children's move but she would not say which Swiss school the children would be attending or how long the foreign adventure would last.
Mary said that they see it as a "gift" to their children.
"One where they can be together about it, and a gift they can have with them for the rest of their lives," she said.
This will not be a new adventure for the family. Almost every winter, the family ski the slopes of Verbier during winter holidays.
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.
The royal couple are currently in France to support the growth and position of Danish companies in the French market and to promote relations between the two nations.
They will head up a business delegation in a trade promotional campaign under the title 'Denmark and France – together for a better life and a sustainable future'.
Their visit to the French capital comes after Mary was given an exciting new honour by her mother in law, Queen Margrethe last week.
Mary has been appointed to Denmark's Council of State, which means she now has the power to act as regent in the Queen's place, if anything happens to her.
The Danish royals shared the news with their Instagram followers.
In the snap, Mary can be seen smiling proudly as she sits alongside her husband Prince Frederick and Queen Margrethe, who's looking at her lovingly.
Crown Prince Frederik, his brother Prince Joachim and the Queen's sister, Princess Benedikte are the only other members of the family to hold this honour.