Crown Princess Mary, 51, looked elegant in a bardot style top with a green jacquard-patterned skirt by H&M for the evening event.
She accessorised with her dainty gold 'F' necklace – a nod to her husband of 19 years, Frederik.
Meanwhile, the Crown Prince donned a navy pinstripe jacket and trousers .
The couple's outing comes after Spanish gossip magazine Lecturas published photographs of Crown Prince Frederik with Mexican socialite, Geneveva Casanova, during a private trip to Madrid.
In a statement to HOLA! Genoveva Casanova said: "I categorically deny the statements that suggest a romantic relationship between Prince Frederick and me."
She added: "Any statement of this type not only completely lacks the truth but also misrepresents the facts in a malicious manner. This is already in the hands of my lawyers, who will take care of the pertinent steps to protect my right to honor, truth and privacy."
Genoveva also released a statement via her lawyers on her Instagram account to further refute the claims.
HOLA! reports that a mutual friend that Frederik and Genoveva have in common was unable to accompany the Prince to visit an art exhibition due to illness and he asked Genoveva to go in his place.
After visiting the exhibition 'Picasso, the sacred and the profane', Frederik and Genoveva walked through El Retiro Park and had a very public dinner together at the restaurant 'El Corral de la Morería', in the heart of Madrid.
The Danish royal palace declined to comment to HOLA!
Crown Prince Frederik and Australian-born Mary met at the 2000 Olympic Games in Sydney.
The pair tied the knot four years later and since then, they have become parents to Prince Christian, Princess Isabella and twins, Prince Vincent and Princess Josephine.
Queen Margrethe hosted a gala dinner at Christiansborg Palace in Copenhagen to mark Prince Christian's 18th birthday last month.
Members from various royal households were among the guests, including Crown Princess Victoria and Prince Daniel of Sweden, with their daughter Princess Estelle, Princess Elisabeth of Belgium, Princess Catharina-Amalia of The Netherlands and Princess Ingrid Alexandra of Norway.
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