The 82 year-old smiled and waved to well-wishers as she arrived at the church.
Organisers said the service was also a chance to thank her for a chasuble - the outer garment worn by clergy during services - she designed and embroidered for the church community in 2020.
Queen Margrethe has strong links to St Katharine's and her parents King Frederik and Queen Ingrid attended its inauguration in Regent's Park.
She last visited the church in 2019 while making her designs for the chasuble, using inspiration including the building's mosaic glass and colours related to the Danish and British flags.
The Queen created a red chasuble with a large cross-shaped embroidery in bright colours on the back that symbolises the Danish flag.
She also embroidered the Luther rose in the middle of the cross, a common symbol in the Evangelical Lutheran Church.
A crown of thorns surrounding embroidered letters which represent a Greek abbreviation of the name of Jesus Christ also appear on the front of the garment.