The royals and their large delegation are also here to do business.
Their state visit aims to deepen trade ties between the Scandinavian country and Queen's Mary home nation.
The delegation will include more than 50 Danish companies and a focus on clean energy.
Denmark's deputy prime minister, plus ministers for foreign affairs and climate will accompany the monarchs.
The couple will arrive at Uluru on Saturday, kicking off a six-day state tour which incudes visits to Canberra, Melbourne and Queen Mary's hometown Hobart.
They will watch the sunset with Indigenous elders in a stop expected to be reminiscent of the 1983 British royal tour, when the late Princess Diana and then Prince Charles, now King, visited the culturally significant monument.
"Denmark and Australia share an interest in nature and cultural conservation and elements related to nature and culture will form part of the state visit," a statement from the Royal House of Denmark reads.
The pair will be welcomed at Government House in Canberra on Sunday by Governor-General Sam Mostyn, Prime Minister Anthony Albanese and his wife Jodie Haydon.
Ms Mostyn will host a formal state dinner for the royals.
The Danish royal couple will visit Parliament House where they will receive a ceremonial 21-gun salute.
King Frederik and Queen Mary were proclaimed Denmark's ruling monarchs in a ceremony attracting wide fanfare in January 2024.
The event marked her 20th year of marriage to King Frederik.
Formerly Mary Donaldson, the pair met during a chance encounter at a Sydney pub during the 2000 Olympic Games.
Then aged 28 and working in marketing, the future queen had no idea she crossed paths with Denmark's party-boy crown prince.
The last time the royals visited Australia officially was 13 years ago, making this their fourth tour together.
They are likely to spend time with Queen Mary's relatives in Tasmania, including her elderly father John Donaldson.
King Frederik and Queen Mary's four children, Crown Prince Christian, 20, Princess Isabella, 18, Prince Vincent and Princess Josephine,15, are unlikely to join their parents on the tour.
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