St. Agnes Priory was established by Queen Margaret I for a community of Dominican nuns at Gavnø Island. After the Danish Reformation the priory was transformed into a manor estate known as Gavnø Castle located near Næstved, Denmark.
Gavnø and several other islands are in a protected fjord just south of the town of Næstved in southern Zealand. These islands' strategic location made them useful from Viking times as a place from which to launch naval raids. It was owned by various pirate (sørover) chiefs with 'forts' at 'Bastnæs', Carlsgab, and Bornakke. Later pirates used Gavnø as a base from which to attack Hanseatic vessels and raid coastal towns, so that the region long had a reputation for piracy. It fell to the royal family during the reign of Valdemar I, who had a hunting residence there which was part residence when he stayed there, part working farm to provide for the workers and their families and royal guests, and later part fortress. Valedmar had fortified the residence and used it to send ships out to raid his enemies in northern Germany and the Baltic. Valdemar fortress was expanded during the years of the German occupation and used as a base from which to attack Danish shipping by German pirates. The island was mortgaged by King Erik VI Menved in 1292 and eventually fell into the possession of the noble Falk family from Scania.
By the early 15th century the royal fortress at Gavnø had lost its strategic importance. In 1398 Margaret I, queen of a united Denmark, Norway, and Sweden, purchased the island from Lady Ida Falk. The fortress was torn down and the materials used to build a new convent for Dominican nuns. It was only the second house for Dominican nuns in Denmark after St. Agnes Priory in Roskilde. In time St Agnes Priory became a residence for unmarried women 'of position' who lived with the nuns. Since the Dominicans were a mendicant order, they existed on the charity of the local community. One way of guaranteeing income was to accept rent properties, mostly farms from the families of unmarried noble women. In return for the income, properties unmarried women lived a quasi-religious life in the security of St. Agnes Priory until they married or took vows.