The Grand Ducal Couple were among the royal guests who managed to arrive in Denmark despite the billowing clouds of volcanic ash that disrupted air traffic over most of Europe.
The Grand Duke wore his formal military uniform. The Grand Duchess wore a lovely gown in a soft shade of brown. She wore diamond and emerald jewels. Some of the pieces including the tiara are historically owned by The Grand Ducal Family. Other pieces of jewelry like the necklace were inherited by Grand Duchess Josephine-Charlotte from her mother Queen Astrid of the Belgians. They each wore the sash and star of Denmark's Order of the Elephant. Personally, I think that they both looked wonderful. My only complaint is that I prefer a more elaborate hair style for a tiara. I found the way in which they were photographed didn't always flatter The Grand Duchess, but I do not feel this is a reflection on her appearance.
I disagree with people on forums/message boards who always seem to point out (rather harshly) that The Grand Duchess doesn't have the skeletal frame of Crown Princess Mary. I understand that Danes favor Mary and everyone is compared to her in an unfavorable light. I find that Maria-Teresa in her youth was far more stunning. Comparing a 54 year old mother of 5 to women 16 years younger is not realistic.
Crown Princess Victoria looked very elegant. I loved her dress. Crown Princess Mary needs to add some cheesy poofs or peanut butter to her diet. Princess Marie was a vision, as usual. Queen Anne-Marie wore a fantastic collection of diamonds and emeralds. Anne-Birgitte Lind also looked very lovely.
PPE has a gallery of photographs of the event. Getty Images currently has 20 or so images. Billed Bladet has some images of people entering the theater. Earlier I saw some video of the guests arriving. The links for the videos are dead so I didn't bother to link them. You only missed about 3-4 seconds of Henri and Maria-Teresa walking past the camera. There are some rather long videos which feature the events as a whole.