A relieved Crown Prince Frederik said the births went well without any complication.
He said there were two small hearts to watch now and it was almost like the first time when he became a dad.
Both mom and kids are doing well and the royal couple is very happy.
The girl is measuring 46cm and weighs 2554 grams while the boy weighs 2674 grams and measures 47cm.
Crown Prince and Princess already have two children, Prince Christian 5, and Princess Isabella, 3.
It is a case of third time lucky for the media following two false alarms this week that Princess Mary was about to give birth.