The Alexander Nevsky Church is the only Russian Orthodox church in Copenhagen. It was built by the Russian Government between 1881 and 1883, prompted by Princess Dagmar of Denmark's marriage to Alexander Alexandrovich on 9 November 1866 and their later ascent to the Russian throne as Tsar Alexander III of Russia and Tsaritsa Maria Feodorovna.

The church was designed by Russian architect David Ivanovich Grimm who was a professor at the Imperial Academy of Arts in Saint Petersburg.