Princess Thyra was born on 14 March 1880 in Frederick VIII's Palace, an 18th-century palace which forms part of the Amalienborg Palace complex in central Copenhagen, during the reign of her paternal grandfather, King Christian IX. She was the sixth child and third daughter of Crown Prince Frederick of Denmark and his wife Louise of Sweden.
Princess Thyra was born on 14 March 1880 at Frederick VIII's Palace, an 18th-century structure that is part of the Amalienborg Palace complex in central Copenhagen. Her father, Crown Prince Frederick of Denmark, and his wife Louise of Sweden were her parents during King Christian IX's reign. She was their sixth child and third daughter.