Denmark's Prince Henrik, the husband of Queen Margrethe abd father-in-law of Princess Mary, died on Tuesday night at the age of 83 at Fredensborg Castle, the Royal House said in a statement.
"His Royal Highness Prince Henrik died peacefully in his sleep," the statement said.
"Her Majesty the Queen and the two sons were at his side."
The 83-year-old French-born prince was diagnosed with a benign tumor two weeks ago. He had been hospitalised following an illness that began during a private trip to Egypt.
Shortly before his death, he was transferred from a Copenhagen hospital back to the castle, north of the city, where he had wanted to spend "his final time".
His son and Crown Prince of Denmark, Frederik, left the Winter Olympics in Pyeongchang to be by his father's bedside.