Frederiksborg Castle is located in the middle of Hillerød on three islands in the castle lake. The oldest parts of the castle were built in 1560 by King Frederik II and the castle is named after him.

The majority of the present castle was built between 1600-1620 by Frederik II's son, Christian IV in Dutch Renaissance style with sweeping gables, sandstone decorations and copper-covered roofs and spires. The castle burnt in 1859 but was rebuilt from 1860-84 with financial support from brewer J. C. Jacobsen and later by the Carlsberg Foundation.

The part of the castle with the two low round towers on the southernmost island beside the S-bridge that connects the first and middle islets were part of Frederik II's original Frederiksborg as were the small Bath House between The Enclosure and the small Deer Park.

The Danish Kings lived in Frederiksborg Castle for about a century and the absolute monarchs were crowned in the palace chapel from 1671. Since 1693, Christian IV's palace chapel has also served as the knight's chapel for the Order of the Elephant and the Knights of the Dannebrog and is also used as a parish church at the moment. The church also houses the old organ from 1610 built by Esajas Compenius.