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Joined by Prince Christian, eight, Princess Isabella, six, and three-year-old twins Prince Vincent and Princess Josephine, the royal couple were photographed playing in the snow in Verbier, Switzerland.
One photo shows 42-year-old Mary seated on a toboggan with Princess Josephine, who was dressed in a cute all-red ski suit. Mother and daughter smiled and laughed as they sped across the snow racing Frederik and Vincent, who sat together a blue sled.
Vincent and Josephine's elder brother and sister meanwhile, proudly displayed their skiing skills.
Christian, who has joined his parents on the slopes since he was two-years-old, sported a pair of checked trousers and a navy jacket, while Isabella choose a turquoise jacket and blue trousers.
The family's skiing holiday is an annual tradition and every year the sextet enjoy a break from their royal duties in the Swiss Alps.
Mary and Frederik are not the only members of the Danish royal family currently enjoying a winter holiday. Prince Frederik's younger brother Prince Joachim and his wife Princess Marie also headed to Switzerland with their brood.
Earlier this week the duo and their children posed for a series of relaxed images in a quaint alpine restaurant.