"It was a wonderful weekend with so many events to celebrate my father's 40 years on the throne!," the 31-year-old royal wrote.
The picture showed Madeleine with her husband Chris O'Neill posing alongside Prince Carl Philip and Crown Princess Victoria and Crown Prince Daniel of Sweden.
Madeleine, who announced her pregnancy at the beginning of the month, was picture-perfect in a floor-length emerald green gown which showed just a hint of her blossoming baby bump.
She teamed the dress with dazzling accessories and wore her hair in loose waves.
Her elder sister Victoria wore a sophisticated monochrome ensemble for the event, a Swedish Riksdag's Jubilee Concert held at the Stockholm Concert Hall on Saturday.
The handsome men looked typically dapper in tuxedos as they beamed for the cameras.
The Swedish royals had gathered for a weekend of celebrations to mark King Carl XVI Gustaf's 40 years on the throne. The group were also seen on Sunday at a dance at a church service at the royal chapel in the Swedish capital.
Madeleine, who married Chris in a fairytale ceremony in June, is taking the early stages of pregnancy in her stride. When she appeared in public just days after the good news was announced by the Palace, she confirmed: "I feel fine."
According to the Swedish Royal Court's solicitor, Axel Calissendorff, Princess Madeleine and Chris's child will become a Prince or Princess.
Speaking to Swedish magazine Svensk Damtidning, the solicitor adds that as the Madeleine is a royal highness, the child will also be born as a royal highness and enter the line of succession.
Just as her sister did during her pregnancy with little Princess Estelle, the Princess plans to continue as far as possible with her scheduled royal duties – including appointments for the World Childhood Foundation.
"No changes to the schedule of Madeleine's engagements," read a statement from the royal palace. "Work for Childhood is planned during the fall of 2013."