The royals attended the opening ceremony of the International Olympic Committee session on Monday, with Frederik and Albert participating as members of the IOC.
All eyes were on the royal guests of honour as they took their seats in the auditorium. Australian-born Mary, who first met her husband at the Sydney 2000 Games, looked particularly chic in a floral summer dress.
A photo was posted on the Danish royal family's Instagram page, announcing that Mary and Frederik had arrived in Brazil. The couple appear to have left their four children Prince Christian, Princess Isabella, Prince Vincent and Princess Josephine at home.
The royals have a packed schedule this week, culminating in the official Rio 2016 opening ceremony on Friday when they will be joined by Frederik's brother Prince Joachim and his wife Princess Marie.
Mary and Frederik will see the opening of the Danish Pavilion on Tuesday. They will also attend a special gala dinner on the training ship Danmark on Wednesday, followed by a special IOC President's dinner on Thursday.
As an active IOC board member, Monaco's Prince Albert will also fulfil his duties in Rio by attending a range of engagements.
However Albert did reveal that he has shortened his visit to ten days while his wife Princess Charlene remains in Monaco.
He explained that his wife has decided to stay at home due to concerns over the Zika virus, coupled with her desire to be with the pair's children, one-year old twins Prince Jacques and Princess Gabriella.
"First, she has decided not to go because she couldn't stand to be away from the babies for two weeks and they're really not old enough to support the trip," Prince Albert told People.
"She has important health concerns. She doesn't like what she's been reading and hearing about the Zika virus and some other health issues."
Like Frederik and Mary, Albert and Charlene's relationship with the Olympics run deep. They are both former Olympians and made their first public appearance as a couple at the 2006 Games in Turin.