The royals were seen together on Wednesday in Copenhagen to celebrate Spanish King Felipe and Queen Letizia’s three-day state visit, reports news.com.au.
The pair were photographed with the Spanish royals and were also in tow with Frederik’s mum Queen Margrethe and his aunt Princess Benedikte.
They were snapped arriving at the Glyptoteket Museum and the Danish Architecture Centre together, and Mary sported a brave face despite speculation of an affair dominating the tabloids.
Infidelity rumours first started swirling after Spanish magazine Lecturas printed photos of Frederik and Mexican model Genoveva Casanova, 47, at a Pablo Picasso exhibition in Madrid the week prior.
Casanova is a well-known name in Mexico and is also a celebrity in Spain after featuring on various reality TV shows such as The Masked Singer, Spanish Celebrity MasterChef and The Chase.
She wed Spanish author Cayetano Martinez de Irujo, one of the five sons of late billionaire Duchess of Alba, in 2005.
The pair share two kids, 23-year-old twins Luis and Amine, who live and work in the UK.
Neither Mary or Frederik have made an official statement in response to the allegations. Instead, the couple shared an Instagram clip on Friday to promote their yearly “Royal Run”.
Mary famously met Frederik in Sydney back in 2000 when the pair had a chance meeting at the Slip Inn pub during the Olympic Games.
They have been married for 19 years and have four kids; Prince Christian, 18, Princess Isabella, 16, and twins Prince Vincent and Princess Josephine, 12.
When Frederik ascends to the throne and becomes king, Mary will become the world’s first Australian-born queen.