The queen, accompanied by her sons Crown Prince Frederik, 49, and Prince Joachim, 48, and their families paid their last respects to Henrik at the Christiansborg Palace chapel.
The funeral was a private affair, with only the royal family, close friend and some government members invited to attend.
However hundreds of Danes gathered outside the chapel to catch a glimpse of the event.
At the end of the ceremony, the priest tossed soil on the coffin, taken from both the royal couple's chateau in Caix, northern France, and from the Marselisborg palace grounds in Aarhus, Denmark.
Afterwards, the coffin was carried outside to a hearse as the royal family watched, bowing as the hearse pulled away and wiping away tears.
Henrik, Prince Consort of Denmark. Photo: AFP
Diagnosed in September 2017 with dementia, Henrik had been hospitalised since January 28 for a pulmonary infection.
He died on February 13.
In line with his wishes, he will be cremated. Half of his ashes will be spread in Danish waters and half buried on the grounds of Fredensborg Castle north of Copenhagen.
Born Henri Marie Jean Andre de Laborde de Monpezat on June 11, 1934 near Bordeaux, he married Margrethe, then crown princess, in 1967.
Henrik, who retired from public service in January 2016, spoke out often about his frustration that his royal title of prince was never changed to king after his wife became queen in 1972.
Last year, he announced that he did not want to be buried next to his wife because he was not made her equal in life, thereby breaking with the tradition of burying royal spouses together in Roskilde Cathedral, west of Copenhagen.