Princess Mary, Prince Frederik and kids look over tributes to Prince Henrik in Copenhagen

Princess Mary and Crown Prince Frederik have looked over tributes to Denmark's late Prince Henrik left by mourners outside Amalienborg Palace in central Copenhagen.

Joined by their four children - Prince Christian, Princess Isabella and twins Princess Josephine and Prince Vincent - the family appeared to be moved by the messages as they walked along the line of floral tributes, all dressed in black, reading the cards as they passed.

It came just after the family escorted Prince Henrik's casket back to their official residence from Fredensborg Castle, in the country's north.

The coffin of Prince Henrik, husband of Queen Margrethe, will be in the downtown palace for two days, before it will lay in state at Christiansborg Palace chapel until next week's funeral.

The white casket was walked out of the palace by men in military uniform and draped in a red and white Danish flag with the royal crest in the centre.

The hearse transporting the coffin was escorted by a police motobike at the front and followed by a motorcade.

Travelling in the cars behind was Queen Margrethe and her two sons, Crown Prince Frederik and Prince Joachim, as well as other family members.

Despite the near freezing temperatures plenty of Danish locals lined part of the 35km stretch between the two palaces.

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On the weekend the closed casket will go on public display in the chapel of the Christiansborg Palace until a funeral Tuesday to be attended by the family and friends only. 

The palace houses Denmark's Parliament, the prime minister's office and is also used for royal ceremonies.

Danish flags across the country were at half-mast on Thursday and a gun salute echoed through the capital at dawn.