Danes lined the streets on Friday to cheer as their prince married a foreigner without a drop of blue blood, putting Donaldson in line to be the first Australian-born woman to become a queen.
"She is stunning, absolutely stunning. Typically Australian. I think I'm gonna cry," said Hayley from the Australian city of Perth, visiting Copenhagen with her family for the wedding.
Security was tight as royalty from Europe and Japan gathered to watch the 35-year-old prince marry his bride of 32. She joins a royal house that the Danes say is Europe's oldest, dating back to the Viking king Gorm the Old, who died in 958.
The prince, popular for his common touch, cried as his princess walked up the aisle in a gown of white duchess satin with a veil of almost 100-year-old Irish lace, once used by Frederik's grandmother.
Mary Donaldson has enchanted
many Danes by learning Danish
Donaldson's bearded father wore the kilt of his Scottish clan and Frederik wore his naval uniform.
The Bishop of Copenhagen, Erik Svendsen, said in his sermon that "nothing in the real world is as uncomplicated as in the fairy tales" - and Donaldson's subjects expect the former estate agent and marketing executive to work for her keep.
"She will represent Denmark and sell us abroad, working for us just like Queen Margrethe and Prince Henrik," said Annie Jensen, soaking up the atmosphere as the self-proclaimed "world's biggest didgeridoo orchestra" played for the crowd.
The crowd roared when Donaldson, now Crown Princess Mary, kissed her new husband on the cheek as a horse-drawn carriage took them to Amalienborg palace, where they waved to the crowd from a balcony and kissed later on.
"It's easy to see they are real people and that they are truly in love. I cried when I saw Frederik crying in the church"
Around 400 guests were due to attend the evening banquet at Fredensborg castle.
"It's easy to see they are real people and that they are truly in love. I cried when I saw Frederik crying in the church," said Danish-American Deborah Marlow.
"We love it! We love it!" screamed Danish teenagers Signe Lundgren and Kristina Villadsen, both wearing plastic tiaras.
"Mary will make an excellent princess and queen," said Signe.
Across Australia, people gathered at pubs, clubs and even schools to celebrate the wedding.
In Donaldson's native Hobart, children went to school dressed as Vikings and princesses. Sydney's Danish community watched it live in the city's opera house, designed by a Dane.
The couple met in a bar in Sydney during the 2000 Olympics and, as befits a tale by the Danish storyteller Hans Christian Andersen himself, she did not know that he was a prince.
The bar marked the occasion by serving "Great Dane" and "Tasmanian Temptress" cocktails.
Donaldson has enchanted Denmark by learning the language, adopting Danish citizenship and converting to the Danish Lutheran faith from Presbyterianism.
But not everyone in Denmark thought she was Mrs Right for the prince. "It's still not too late, Fred," read a headline in the tabloid Ekstra Bladet, above a photo of a naked woman painted with the red and white Danish flag.