The six family photographs were taken after the royals arrived in the Alps for a short holiday on Wednesday night.
They were taken the next day - when Prince George and Princess Charlotte played in the snow for the first time.
Kensington Palace said it had been a "very special and fun" family holiday.
The photographs include one of Prince William holding Princess Charlotte, while the duke and duchess are shown having a snowball fight in separate photographs.
A palace spokesman said: "This was their first holiday as a family of four and the first time either of the children had played in the snow. It was very special and fun short holiday for the family.
"The Duke and Duchess hope people enjoy the photos," the spokesman added.
Princess Charlotte was born in May last year, while Prince George is two.
By Peter Hunt, BBC royal correspondent
The timing of this royal winter break could be viewed as rather unfortunate.
It comes after Prince William has been accused by some newspapers of shirking royal engagements, with the Sun demanding: "Where's Willy?"
The answer, for a few days last week, was the French Alps with his children and his wife.
The pictures will delight those who support the royals and who are avid consumers of images of Prince George and Princess Charlotte. Such people will argue that everyone is entitled to downtime.
William's critics will continue to question whether he's reluctant to fully embrace his destiny. They insist he could do more in support of his soon-to-be 90-year-old grandmother, the Queen.
Defenders of the future king stress that he combines his work as a royal with his job as an air ambulance pilot and his role as a father.
Read more from Peter
The Duke and Duchess of Cambridge have released a series of photographs of their trip to the French Alps - their first family holiday since the birth of Princess Charlotte.