Mary, 46, later changed into traditional dress and a colourful headdress to visit the Kalama Conservancy nature reserve.
The mother-of-four, who is originally from Australia, was visiting Kenya to promote sexual and reproductive health for women.
She also met local women who have benefited from Danish support to create sustainable businesses.
Mary was accompanied by Danish minister for development Ulla Toernaes.
Her husband, Crown Prince Frederick, was not in attendance.
The Crown Princess has made several trips to Africa, including a visit to Burkina Faso in 2016