Prince George was born Prince Jørgen, in Copenhagen, the third son and sixth child of Frederick III of Denmark and Sophie Amalie of Brunswick-Lüneburg. The young prince's governor from 1661 to 1665 was Otto Grote.

In 1674 he was a candidate for the Polish elective throne, backed by King Louis XIV of France. However, George was brought up as a strict Lutheran, and accepting the Polish throne would mean conversion to Roman Catholicism. George was considered a suitable partner for Anne, Denmark being, like Britain, a Protestant country; at that time, it was not considered likely that Anne would become Queen. Anne's uncle Charles II of England had decided that Anne should marry George and her father James, duke of York, agreed. Louis XIV was content, but Anne's brother-in-law, William of Orange, was not.

George and Anne were married on 28 July 1683, at St. James's Palace, London. Called George in England, the prince was subsequently created an English subject and a Knight of the Garter, and was created Duke of Cumberland, Earl of Kendal and Baron Wokingham. George was given a revenue of ƒ10,000 a year, while the Parliament voted Anne ƒ20,000 a year. Although he was Protestant all his life, he never became a member of the Church of England, which was headed by his wife during her reign - he remained Lutheran even after her accession and he had his own personal chapel.

His marriage to Anne was successful, although from 18 pregnancies between 1684 and 1700 only one son, William, Duke of Gloucester, survived infancy but died in a palace smallpox epidemic in 1700 at the age of 11. As with many other members of the royals and nobility, some historians attribute this poor infant survival rate to evidence that Prince George suffered from syphilis. Another theory is that Anne passed haemolytic disease of the newborn to her babies (Rhesus disease). By 1700, the future Queen had been pregnant at least eighteen times; thirteen times she miscarried or gave birth to stillborn children, and most of her live births did not live more than a few days. Based on her fetal losses and physical symptoms, a medical historian has diagnosed disseminated lupus erythematosus.

The social and political grouping centred on Prince George and Princess Anne was known as the "Cockpit Circle" after the Cockpit, their London residence (part of the Palace of Whitehall on the site of what is now Downing Street in Westminster). Anne's older sister Mary (later Queen Mary II) had moved to the Netherlands after her marriage to William III of Orange; Protestant opposition to James was therefore increasingly focused on Anne and George instead of Mary, the heiress presumptive. In 1688 the decision of William, Mary, George and Anne to desert the embattled James II was instrumental in whittling away the king's legitimacy and paved the way for the Glorious Revolution of 1689, which was led by William and supported by George, at the nominal head of the Lord High Admiral's Regiment, disbanded the following year. The Holland Regiment took its place as 3rd Regiment of Foot with Prince George as its honorary colonel.

William had apparently refused to attend James II's coronation in 1685 because George, as a senior member of a European royal family, would outrank him as elected stadtholder of a republic; this mistrust was overcome during the revolution of 1688–89 but dogged relations between George and William during the latter's reign. Some degree of reconciliation was achieved on Queen Mary's sudden and unexpected death from smallpox in 1694; but George did not play a senior role in government until his wife Anne succeeded William in 1702.

George was an able administrator and military strategist, and as Lord High Admiral, 1702–08, officially headed the Royal Navy in support of the military activities of Anne's favourite, the Captain-General Lord John Churchill, 1st Duke of Marlborough. On George's death in 1708, Anne was disconsolate. Although she refused initially to entrust the duties of the Lord High Admiral to a commission, she was effectively forced to when she found herself unable to bring herself to sign papers in George's stead.

Charles II, Anne's uncle, famously said of Prince George, on the occasion of his marriage to Anne, "I have tried him drunk, and I have tried him sober; and there is nothing in him". George was considered a fine looking man, being tall and blond. He was neither clever nor learned - he represented a simple man without envy or ambition. He was not seen as one of the most colourful political characters of his day, but he was a skilled strategist and an able administrator, and a loyal and supportive husband to Queen Anne. By all accounts their marriage was a devoted and loving one in spite of their earlier personal tragedies.

George I of Greece is also sometimes known as "Prince George of Denmark" (1845 – 1913), in a confusion of his regnal name, George, and his pre-regnal title, Prince William of Denmark. He was the brother of Alexandra of Denmark, consort of Edward VII.