The palace gardens are among Denmark's largest historical gardens, and are Denmark’s finest example of a baroque garden. These too was designed by Krieger, and were extended and altered during the 18th century. The long, straight avenues which extend from the castle in a star-shaped pattern were recreated in the 1970s to 1990s. Between these avenues lies large wooded areas with winding paths. Most of the statues in the gardens were sculptured by Johannes Wiedewelt.

Of special interest is the "Valley of the Norsemen" with approximately 70 sculptures of Norwegian and Faroese farmers and fishermen, originally carved by J.G. Grund. The garden is open all year round.

The area of the gardens closest to the palace is reserved for the Royal Family, but is usually open to the public in July. Here are the kitchen gardens, which supply fresh vegetables for the household, and a modern orangery, which was opened in 1995.