By Agence France-Presse
"There are small friends... ghosts. They're all very friendly but you sometimes feel that you're not completely alone," Queen Silvia says in the documentary by SVT.
"It's really exciting. But you don't get scared," she adds.
Drottningholm Palace, which is on the UNESCO world heritage list, was built in the 1600s on Lovon island in Stockholm.
It is the permanent residence of King Carl XVI Gustaf and Queen Silvia, the 73-year-old daughter of a German businessman and a Brazilian woman. They were married 40 years ago, which makes her Sweden's longest-serving queen.
Princess Christina, Silvia's sister, backs the claims of the Drottningholm phantoms.
"There is much energy in this house. It would be strange if it didn't take the form of guises," Christina was quoted as saying the documentary.
"There's stories about ghosts in all old houses. They have been filled with people over the centuries," she adds. "The energies remain."