"I've been looking forward to this day for a long time," Wozniacki said. "It's been three years since I played my last match in Denmark, and playing my good friend Serena here is a dream come true."
Williams played the Energi Denmark Champions Battle last year too, against another former No.1.
"I've been looking forward to visiting Herning again," Williams commented. "I had such a great time playing here last year, so when I had the chance to come here with Caroline I said yes right away."
The two have been BFFs on the tour for years - and the relationship could keep going for years.
"We've been joking that I'll follow Caroline around the tour when I finish playing myself," Williams said at Wednesday's press conference, smiling. "Being in the box, maybe even coaching Caroline!"
On Thursday they'll play for a Shamballa bracelet worth 100,000 Danish krones (just over $14,000).
There will be men's doubles to begin the night - Jean-Julien Rojer and Horia Tecau, the No.1-ranked team in the world, will face former Wimbledon champions Frederik Nielsen and Jonathan Marray.
The event will take place at the Jyske Bank Boxen in Herning - click here for tickets.
And here are a bunch of pics from Williams and Wozniacki's media day, courtesy of Claus Frederiksen: