Tsarevna Maria Feodorovna with her sister Princess of Wales Alexandra.

Princess Marie Sophie Frederikke Dagmar was born at the Yellow Palace in Copenhagen. Her father was Prince Christian of Schleswig-Holstein-Sonderburg-Glücksburg, a member of a relatively impoverished princely cadet line. Her mother was Princess Louise of Hesse-Kassel. She was baptised as a Lutheran and named after her kinswoman Marie Sophie of Hesse-Kassel, Queen Dowager of Denmark as well as the medieval Danish queen, Dagmar of Bohemia. Growing up, she was known by the name Dagmar. Most of her life, she was known as Maria Feodorovna, the name which she took when she converted to Orthodoxy immediately before her 1866 marriage to the future Emperor Alexander III. She was known within her family as "Minnie". Due to the brilliant marital alliances of her father, he became known as the "Father-in-law of Europe." Her elder, and favorite, sister, Alexandra married Albert Edward, the Prince of Wales (the future King Edward VII) in March 1863. Alexandra, along with being queen consort of King Edward VII, was also mother of George V of the United Kingdom, which helps to explain the striking resemblance between their sons Nicholas II and George V. Her younger sister was Thyra, Duchess of Cumberland.

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