Prince Nikolai was christened in chapel of Fredensborg Palace on 6 November 1999. At the christening the musical work Lys på din vej composed by Frederik Magle, dedicated to Prince Nikolai, was given its first performance.
His godparents are:
- Frederik, Crown Prince of Denmark (his paternal uncle)
- The Prince Edward, The Earl of Wessex
- Peter Steenstrup
- Nicola Baird (his maternal aunt)
- Camilla Flint
He is named for:
- Nikolai: is after his maternal aunt and one of his godmothers, Nicola Baird.
- William: is after his maternal great-grandfather William Manley.
- Alexander: is after his mother Alexandra, Countess of Frederiksborg.
- Frederik: is a common name for Danish Kings, and is also the name of his uncle and one of his godfathers, Crown Prince Frederik.
On 16 April 2010, his paternal grandmother's 70th birthday, he received the Commemorative 70th Birthday Medal of Her Majesty The Queen.
He attended the Krebs School with his brother.