The first structure at the site was a hunting lodge built just north of the royal deer park Jægersborg Dyrehave which was established in 1670.

After his death, the property was passed on to his daughter, Anne Sophie, who married King Frederick IV Morganatically in 1712.

From 1722 to 1726, after their second marriage in 1721, which gave Anne Sophie status of queen, court architect Johan Cornelius Krieger carried out an expansion of Frydenlund.

[1] In the first half of the 1740s, the house was put at the disposal of General Charles Christian Erdmann, Duke of Württemberg-Oels along with the Württemberg Mansion in Copenhagen (now Lerches Gård).

[3] The architectural firm Berten && Schewing was commissioned to make a masterplan for restoration and development of the buildings in 2010.