The six-day state tour, which includes visits to Canberra, Melbourne and Hobart, aims to deepen trade ties between Queen Mary's adopted and home countries.
The royal couple exchanged handshakes with Anangu traditional owners at Uluru Kata Tjuṯa Cultural Centre after touching down late on Saturday.
The normally arid desert region was a sea of green after weeks of heavy rain soaked the outback tourist site, sending waterfalls cascading down the famous rock.
The monarchs made their way into the cultural centre under grey skies for a guided tour during which they learned about the creation of the land and Anangu customs.
They also watched a ceremonial dance called Inma that connects the Aṉangu to their ancestors through song and dance.
Frederik and Mary also admired the sunset at the massive sandstone monolith with Indigenous elders, in a stop sure to draw comparisons with the 1983 British royal tour, when the late Princess Diana and then Prince Charles, now King, visited the culturally significant site.
Their majesties will travel to a nearby waterhole, which is one of the few permanent water sources around Uluru, for sunrise on Sunday.
The royal visit isn't all about sightseeing and photo opportunities, however.
Their delegation is also here to do business and includes more than 50 Danish companies, with a focus on clean energy.
Denmark's deputy prime minister, plus ministers for foreign affairs and climate will accompany the monarchs.
"Denmark and Australia share an interest in nature and cultural conservation and elements related to nature and culture will form part of the state visit," a statement from the Royal House of Denmark reads.
The pair will also meet Governor-General Sam Mostyn, Prime Minister Anthony Albanese and his wife Jodie Haydon while here.
Ms Mostyn will host a formal state dinner for the royals.
Frederik and Mary were proclaimed Denmark's ruling monarchs in a ceremony attracting wide fanfare in January 2024.
The event marked their 20th year of marriage.
Formerly Mary Donaldson, the pair met during a chance encounter at a Sydney pub during the 2000 Olympic Games.
Then aged 28 and working in marketing, the future queen had no idea she had crossed paths with Denmark's party-boy crown prince.
The last time the royals visited Australia officially was 13 years ago, making this their fourth tour together.
They are likely to spend time with Queen Mary's relatives in Tasmania, including her elderly father John Donaldson.
King Frederik and Queen Mary's four children, Crown Prince Christian, 20, Princess Isabella, 18, Prince Vincent and Princess Josephine,15, are unlikely to join their parents on the tour.
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