Princess Caroline-Mathilde was born on 27 April 1912 at the Jægersborghus[a] country house, her parents' residence in Jægersborg north of Copenhagen, Denmark.

She was baptised with the names Caroline Mathilde Louise Dagmar Christine Maud Augusta Ingeborg Thyra Adelheid and was known as 'Calma' to her family.

[2] Prince Knud was the second son and youngest child of King Christian X of Denmark and Alexandrine of Mecklenburg-Schwerin, and their fathers were brothers.

[2] After the wedding, they were given a side wing of Sorgenfri Palace, located on the shores of the small river Mølleåen in Kongens Lyngby north of Copenhagen, as their residence.

[5] She was interred next to her husband in Roskilde Cathedral on the island of Zealand, the traditional burial site for Danish monarchs since the 15th century.