Maria Fyodorovna, known in her native country as Princess Dagmar, would be re-interred in St. Petersburg to honor her last wishes and in keeping with an agreement reached by the governments of Russia and Denmark in 2005.
The casket with the empress's remains left the Roskilde Cathedral and was paraded through Copenhagen before being put on the ship sailing to St. Petersburg.
Her descendants, including members from the Romanov family, and a Russian government delegation, headed by Culture and Mass Communication Minister Alexander Sokolov and Deputy Foreign Minister Vladimir Titov, attended the ceremony in the cathedral.
Maria's remains are to be brought to Russia's former imperial capital on September 26 and reburied two days later at the Peter and Paul Fortress, next to her husband and other members of the Romanov dynasty, who ruled Russia for more than 300 years.
Danish Princess Marie Sophie Frederikke Dagmar (1847-1928), baptized a Lutheran, took the name Maria Fyodorovna when she converted to the Orthodoxy before marrying Alexander III, who reigned from 1881 to 1894. One of her sisters became Queen Alexandra of Britain and a nephew was crowned King George V of Britain.
Despite the overthrow of the monarchy in 1917, Maria did not leave Russia for her native Denmark until 1919.
Maria Fyodorovna's son - Russia's last tsar, Nicholas II - and her daughter-in-law and grandchildren were killed by the Bolsheviks in the Urals city of Yekaterinburg in 1918, but until her death, she refused to acknowledge the massacre had ever taken place.
The purported remains of Nicholas II were reburied in St. Petersburg in July 1998.