Prince Felix was born at Rigshospitalet the Copenhagen University Hospital in Copenhagen on 22 July 2002. When his father met the press following the birth, he joked that the baby could be named anything from Ib to Nebuchadnezzar.
He was christened in Møgeltønder Church in Møgeltønder on 4 October 2002 by the royal vicar Christian Thodberg. His names were revealed to be Felix Henrik Valdemar Christian. His godparents are Martina Bent (maternal aunt); and friends of his parents: Count Christian Ahlefeldt-Laurvig, Oscar Davidsen Siesbye, Damian Sibley and Annick Boel. At the christening the musical work Dåbens Pagt composed by Frederik Magle, dedicated to Prince Felix, was given its first performance.
In addition, the prince is of Chinese descent, as his mother is a great-granddaughter of Mary Ho Li from Guangdong, China.
After their divorce, Prince Joachim and Alexandra have joint custody of Prince Felix and his older brother Prince Nikolai. Felix attended pre-school at the Garnison Church in Copenhagen, and at age six, followed in the footsteps of his father, brother and uncle at Krebs School in Østerbro.