The royal couple woke before dawn on Sunday to walk to Muṯitjulu Waterhole in Uluṟu-Kata Tjuṯa National Park with traditional owners.
The culturally significant site is one of the few permanent water sources around the sandstone monolith and a regular attraction for visiting dignitaries.
It welcomed the late Princess Diana and then Prince Charles, now King, during their 1983 British royal tour, as well as the Dalai Lama in 2015.
Frederick and Mary touched down in the red centre on Saturday for a six-day state tour, their first trip to Australia since ascending to the throne.
The monarchs made their way into the cultural centre under grey skies for a guided tour and ceremonial dance called Inma that connects traditional custodians, the Aṉangu, to their ancestors.
Queen Mary said it was great to be home while snapping pictures at Uluru's sunset viewing site.
"We've been so much looking forward to the visit and to start the visit here in the centre of Australia is quite something," she said.
"And to experience Uluru for the first time and to meet with the Aṉangu people and hear a little bit about their spiritual and cultural connection to the lands ... it's been a really great start to what will be an exciting visit here."
The royals will head to Canberra on Sunday for more activities, including a 21-gun salute at Government House and a dinner hosted by Governor-General Sam Mostyn.
The pair will also meet Prime Minister Anthony Albanese and his wife Jodie Haydon, before departing for Melbourne and Hobart.
The royal visit aims to deepen trade ties between Queen Mary's adopted and home countries, with a focus on clean energy.
Their delegation includes Denmark's deputy prime minister, ministers for foreign affairs and climate and more than 50 Danish companies.
Frederik and Mary were proclaimed Denmark's king and queen 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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