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The 42-year-old royal treated her two eldest children to the visit, where they met Danish Eurovision competitors past and present.
Mary dressed in a vibrant scarlet coat for the occasion, keeping her look chic and casual with a black top, jeans and boots.
Prince Christian, eight, looked smart in a checked red and white shirt, a grey jumper, navy jacket and jeans while his seven-year-old sister sported a light blue shirt, a denim skirt, tights and black patent boots.
The royal trio looked thrilled as they were introduced to last year's winner, Emmelie de Forest, who is responsible for the contest being held in Copenhagen after she won last year's competition with her song Only Teardrops.
Mary, Christian and Isabella also met Basim, who is flying the flag for Denmark in this year's competition.
Princess Mary, Prince Christian and Princess Isabella met last year's winner Emmelie de Forest (third right)
On Saturday Princess Mary will show her support for Eurovision again, this time with her husband Crown Prince Frederik.
The royal couple confirmed that they will be in attendance at the final of the 59th edition of the annual competition, which is being held in a former shipyard in the Danish capital.
This time all four of Mary and Frederik's children, Prince Christian, eight, Princess Isabella, seven, and three-year-old twins Prince Vincent and Princess Josephine, are expected to attend.
Australian-born Mary will also be able to catch a mid-rehearsal performance from 25-year-old Australian singer Jessica Mauboy, who is a guest performer during the semi-finals.