The outing came amid news that Denmark's former queen, Margrethe, had been hospitalised for a second time in recent weeks after a CT scan revealed a blood clot.
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Asked about his mother during the events of the day, the King responded that she is "a pretty cool mother who doesn't need to run", adding that he plans to visit her in hospital on Tuesday.
The family enjoyed sunny highs of 23C in the Danish city as they completed the run alongside members of the public, with races lasting one mile, five kilometres and ten kilometres each.
However, it was Prince Vincent, 15, who was the champion of the day, finishing the one-mile race in first place.
After travelling by boat to Nyhavn, he and his father, King Frederik, were the only royals to complete the 10-kilometre race and compete in the grand final, while Mary, Isabella and Josephine appeared at the finish line to congratulate them.
Crown Prince Christian was missing from the end as he is currently taking part in a 10-day military exercise and needed to return.
However, earlier in the day, he took part in the 5km run at Ringkøbing, completing it in 22 minutes and 22 seconds despite stopping for selfies and handshakes.
Queen Mary shared a photograph of herself limbering up with the family dog in preparation for her 5km race, wearing an official royal run T-shirt, tracksuit bottoms and pink trainers.
While she only competed in one race, King Frederik completed all three events on offer.
She told TV2: "I have to admit I have become a slow runner, but I ran the whole way. This year my husband wins because he is the only one who ran all the distances."
King Frederik, who celebrates his 58th birthday on Tuesday, was asked who the "fastest" in the family is.
He replied: "Well, I’ve stepped away from that boat. It’ll probably be my youngest son, but he’ll have to discuss that with his older brother in Ringkøbing."
The King was the first to start the royal run, beginning the day at 10am after arriving in Randers on the Royal Dannebrog Yacht.