The couple stepped out in the contest's host city, Copenhagen, to cheer on Danish singer Basim in the fun-filled musical competition.
Glamorous Mary, who had also attended the show's semi-final with her children Prince Christian and Princess Isabella, chose an elegant black outfit for the night.
Crown Princess Mary and Crown Prince Frederik of Denmark
The Australian-born princess, 42, wore an embroidered floral shawl over a chic sleeveless dress and accessorised her look with metallic heels and glittering statement earrings.
Crown Prince Frederik, 45, sported a navy blue suit and an indigo tie.
While Danish contestant Emmelie de Forest won the competition in 2013, Saturday night's show belonged to Austrian singer Conchita Wurst, who took the top spot with 290 points.
Conchita, who is the drag queen alter-ego of 25-year-old Thomas Neuwirth, performed her dramatic power ballad Rise Like A Phoenix in a striking golden gown, standing against a fiery backdrop.
After securing her victory, an emotional Conchita took to the stage to accept her award.
"This award is dedicated to everybody who believes in a world of peace and freedom," she said. "You know who you are - we are unity and we are unstoppable."
Britain's entry Molly Smitten-Downes
"For me, my dream came true," she added at a press conference after the show. "But for our society, it just showed me that there are people out there who want to go into the future and go on, you know, not stepping back or thinking in the past."
Conchita's strongest competition came from Sweden's Sanna Nielsen and Dutch duo The Common Linnets, who earned 218 and 238 points respectively.
The UK's entry, 27-year-old Molly Smitten-Downes, finished the night with 40 points, putting her in 17th place.
Following Conchita's win, the 60th edition of the Eurovision Song Contest will be held in Austria in 2015.