Princess Sophie Hedevig was the daughter of Christian V and Charlotte Amalie. She was the sister of Frederik IV.
As a child, Sophie Hedevig was engaged to Prince John George of Saxony but the engagement was dissolved. Attempts to arrange a marriage between her and Charles XII of Sweden and later the King of Rome, Joseph I, were also unsuccesful, and she stayed unmarried throughout her life. She lived mostly with her mother, who died in 1714. Following the marriage between her brother Frederik IV and Anna Sophie, Sophie Hedevig and her brother Carl left the Court. She moved to Vemmetofte on the peninsula of Stevns. Here she established a foundation for nobleladies in her will.
Sophie Hedevig was interested in music and painting, and she owned a large collection of books on religion. After her death this was bequeathed to the University Library in Copenhagen.