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
- 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.