The main wing of Frederiksberg Palace towards Frederiksberg Gardens was built in 1699-1703 by King Frederik IV with Ernst Brandenburger as architect. Originally there were just slightly projecting end bays, but these were replaced by the Court architect J.C. Ernst in 1707-09 with substantial end wings, resulting in an H-shaped building.
The inspiration was the great Baroque villas of Italy which the king had seen on his travels. Colour-rendered walls, windows of sandstone with alternating triangular and segmental pediments, horizontal projecting sanstone moulding above the ground floor, and a Baroque portal in sandstone.

In the 1730s the palace was extended by lengthening the side wings and then joining them up with a curved section completely enclosing the courtyard. The new building was designed by Laurids de Thurah for King Christian VI. The gatehouse in the centre was, however, part of the original building (altered in 1828). The roofs are of glazed black tiles, in contrast with the original building which has a copper-clad roof.
There have been other changes in the course of the 18th century but these were all internal.

The palace was a summer residence for the royal family until 1852. Since 1869 it has been the military academy of the Danish army.