She is the youngest grandchild of Queen Margrethe II and Prince Henrik, and the niece of King Frederik X. Athena is currently ninth in the line of succession to the Danish throne.

Athena was born a princess of Denmark on 24 January 2012 at Rigshospitalet, the Copenhagen University Hospital.

Her godparents are her maternal uncles, Gregory Grandet and Edouard Cavallier; Carina Axelsson, the long-term girlfriend of her father's cousin Gustav, Hereditary Prince of Sayn-Wittgenstein-Berleburg; and friends of her parents, Julie Mirabaud, Diego de Lavandeyra and Henriette Steenstrup.

[5] In 2019, when Athena and her family moved to France, she was enrolled at the private school EIB Monceau in the 8th arrondissement of Paris alongside her brother.

[7] In September 2022, Queen Margrethe II decided to strip the descendants of her son Joachim of their princely titles.