Hosting the dinner, which was held at Fredensborg Palace, was Queen Margrethe of Denmark who was joined by her huband Prince Henrik, sons Prince Frederik and Joachim and guests of honor President Sauli Niinistö, and his wife, Jenni Haukio.
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Margrethe's sister Princess Benedikte and the Danish prime minister Helle Thorning-Schmidt also dined at the Palace.
Princess Mary chose a mint green dress, detailed with a purple floral overlay, an array of jewels and a tiara given to her by Queen Margrethe on her wedding to Crown Prince Frederik, while Marie opted for a deep purple gown and matching clutch bag and a floral diamond tiara.
Mary, 41, and Marie, 37, arrvied at the palace with their respective husbands, Frederik, 44, and Joachim, 43, who were formally dressed in white tie for the occasion.
The royal menu consisted of cod mousse with crayfish, mouflon with mashed celery, potatoes and Bordelaise sauce followed by an apple pie and accompanied by wine from the royal cellars.
The band of the royal guard was also on hand to provide the evening's music with pieces by Stein, Sibelius, Bastholm and Lumbye.
During the visit, which began on Thursday, Princess Mary spent a day with Niinistö's wife and accompanied her to the Royal Academy of Architecture, design and preservation.