He was the fourth and youngest son and seventh child of King Frederik VIII and Queen Louise.

Prince Gustav was born on 4 March 1887 at his parents' country residence, the Charlottenlund Palace north of Copenhagen, during the reign of his paternal grandfather, King Christian IX.

[1] He was the seventh child and fourth son of Crown Prince Frederik of Denmark and his wife Louise of Sweden.

[1] On 2 February 1935 in the Russian Orthodox Church in Copenhagen he was, together with his cousin Grand Duchess Olga Alexandrovna of Russia and her husband colonel Nikolai Kulikovsky, a godparent at the christening of Alexander Schalburg, son of first lieutenant in the Royal Danish Life Guards and a leading figure of the Danish Waffen-SS unit Free Corps Denmark, Christian Frederik von Schalburg.

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