The royals laid a wreath at the Australian War Memorial on Monday morning before mingling with the public outside the Canberra landmark.
Many in the crowd waved Danish flags during the duo's second major outing on their six-day tour of Australia, the first since King Frederik ascended the throne.
Avid monarchist Lynton Martin said he came to see the royal couple to make sure they felt welcome in Australia.
"The Danish royal family can only make one state visit to each country during their reign, so it's probably not going to happen again," Mr Martin told AAP.
"I really wanted to make sure the King and Queen feel welcome and to welcome Mary home to Australia as well."
The Queen's local connection as a Tasmanian made the visit extra special, Mr Martin said.
"We have a touch of royalty in Australia and she hasn't stepped a foot wrong in her whole time in public life, so she's definitely very, very special," he said.
Henri Hansen is visiting from Denmark, with his trip planned to partly coincide with the royal visit.
"A big fan of the royals and a big fan of Frederik," he said.
"Four weeks ago I turned 60 and my only wish for my birthday was there was money for travelling and I just got enough to get down here for two weeks."
Prime Minister Anthony Albanese later welcomed the King and Queen to Parliament House, where they met a group of MPs from the newly formed Denmark-Australia Parliamentary Friendship Group.
The pair attended a state dinner at Government House on Sunday, hosted by the governor-general.
A 21-gun salute and guard of honour greeted them as they met with Sam Mostyn, the prime minister and Opposition Leader Angus Taylor.
Ms Mostyn said Australians were delighted by the return of the royals.
She outlined shared interests in climate change and sustainability, saying she hoped economic ties would grow as a result of the visit.
"On behalf of all Australians, it's an honour to host you," Ms Mostyn said at the dinner.
"You are no strangers to this country, of course."
King Frederik said Australia was the couple's second home after he met the future queen in a Sydney pub during the 2000 Olympics.
The couple married in 2004 and were inaugurated in 2024.
"Once upon a time, Denmark perhaps did not resonate widely in Australia ... then something changed," the King said to laughter around the table.
"From that moment on, everyone Down Under knew of that Nordic country up over.
"Whether we come here for a family visit or a state visit, we feel entirely at ease."
The King and Queen's appetite during the visit goes beyond sightseeing and fancy dinners, with the duo bringing a delegation of 50 Danish companies to strengthen business ties.
Two-way trade between Australia and Denmark raked in more than $3 billion in 2024, the overwhelming majority of which was imports from the Scandinavian country.
Australia had more than $9 billion of investment stocks in Denmark in the same year, while Denmark had $4.66 billion in Australia.
The King and Queen toured Uluru on Sunday after touching down a day earlier, while their tour also includes visits to Melbourne and Mary's home city of Hobart where they will meet members of the public.
