Those of you who have seen pictures of Amalienborg have also seen this colonnade connecting two of the mansions: Her er Amalienborgs hemmelige gange - Royale | www.bt.dk
It wasn't there originally.
Back in 1794 Christiansborg Palace, which was then the main seat of the DRF in Copenhagen, burned to the ground. So the DRF were suddenly homeless - or palaceless as they call it in royal circles - and had to find a new suitable residence fast while a new Christiansborg was being build.
The choice fell on four mansions situated around a square. Three of the mansions were bought and the King Christian VII moved into one of them, while the Crown Prince moved into the mansion right next to.
Alas, Christian VII was more or less insane, so the Crown Prince was Regent and that meant that even though the official business to place in the mansion where the King lived, it was also de facto office for the Crown Prince. The mansions build as private houses were not interconnected in any way and having the Crown Prince walking from his mansion to his father's mansion wasn't seen as befitting his status. On the other hand it was pretty silly that he had to be driven or mount a horse several times a day, just for a hundred meters or so!
So it was decided to construct a connection, so that the Crown Prince could walk (and also didn't have to go outside in all sort of weather) between the two mansions.
And thus the colonnade was build. As Amalienborg was only supposed to be a temporary residence it was decided to make the colonnade from wood and make it look like it was made in stone.
And now it's possible for the royals to walk inside the colonnade from mansion to mansion.
Nowadays the colonnade connects the mansion in which the current Regent Couple live with the mansion that is now being used for official functions, like dinners, the grand New Year Court and so on, and also to house prominent guests.
Well, time passed and the DRF liked living at Amalienborg, so even though a new Christiansborg was build (and later burned down only to be rebuild once again) the DRF made Amalienborg their official residence. Even though it's somewhat small for a royal main residence. - So a lot of the more official business takes place at Christiansborg.
Oddly enough no one has ever considered digging underground passages between the four mansions. (Unless of course they are kept very secret).
Then WWII came and DK was occupied. Towards the end of the war the situation between the Danes in general and the German occupiers was strained to put it mildly. As the police and military had been interred by 1944 it was German soldiers who stood guard outside Amalienborg and there was good reasons for concern that the King Christian X would be seized by the Germans in case of a general revolt in DK, so plans were made to evacuate the DRF without the Germans knowing about it.
The then head of security of the DRF decided to dig a tunnel away from Amalienborg in order to evacuate the DRF should the need arise. That was done in deep secrecy and not without problems due to the German guards who at some point noticed weird noises coming from underground.
Anyway, over the course of a few months a 31 meter long tunnel was dug between the mansion where Christian X resided and a stable that is a part of the wider Amalienborg complex. (A number of the houses and buildings around Amalienborg are a part of the palace complex, housing offices, equipment, storages and apartments).
During the war Christian X feel from his horse and became more or less invalided, so the plan was to cary him on a stretcher away from Amalienborg and evacuate the DRF (using an ambulance) to a safe place further away. (An apartment owned by a ministry was ready). When the tunnel was finished the Crown Prince later Frederik IX, took part in a dress rehearsal. An experience that amused him.
However, King Christian X who was an army officer of the old school did not
approve of the idea of "going underground"! As an officer he considered that to be dishonorable.
Fortunately the tunnel was never used and gradually fell into disrepair and became partially flooded.
- You can read more about this tunnel in the thread.