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
- 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.