Prince Felix was christened in Møgeltønder church on 4 October 2002 by the royal vicar Christian Thodberg. At the christening the musical work Dåbens Pagt composed by Frederik Magle, dedicated to Prince Felix, was given its first performance.
His godparents are:
- Count Christian Ahlefeldt-Laurvig
- Oscar Davidsen Siesbye
- Damian Sibley
- Martina Bent, his maternal aunt
- Annick Boel
He was named:
- Felix is a name his parents liked, that means "Happy And Prosperous."
- Henrik is after his paternal grandfather, Henrik, Prince Consort of Denmark.
- Valdemar is a common royal Danish name; his father and his cousin, Prince Christian of Denmark, also have Waldemar/Valdemar as one of their names.
- Christian is a common royal Danish name, as most Kings of Denmark are either Christian or Frederik; it could also be for one of his godparents, Count Christian Ahlefeldt-Laurvig.
He is presently 8th in line for the Danish throne after his uncle, four cousins, father, and older brother. He is also distantly in line for the British throne as a great x5 grandchild of King Christian XI of Denmark and greatx4 grandchild of Queen Victoria.