The court said in a statement Friday that the 38-year-old princess is due in January 2011. She is expected to give birth at Rigshospitalet, the national hospital, in Copenhagen.
The announcement follows weeks of intense media speculation that the princess is pregnant.
The Tasmanian-born princess married Crown Prince Frederik in 2004. The couple already has two children, 4-year-old Christian and 3-year-old Isabella.
Crown Princess Mary was named one of the top 10 best-dressed women of 2010 in the September edition of Vanity Fair.