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 in Frederick VIII's Palace, an 18th-century residence that is 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.