The event is an annual event held in honour of the members of the diplomatic corps.
The Australian-born royal made headlines as she attended a New Year’s Eve banquet wearing a gold and black gown featuring purple detailing, along with a diamond tiara.
She wore her brunette hair in a low bun and accessorised with drop earrings and traditional regalia.
Meanwhile, Prince Frederik donned military regalia for the prestigious occasion.
The banquet is a traditional event hosted by the Danish Queen Margrethe at Christian VII's Palace, Amalienborg, in Copenhagen, Denmark.