Is Dragsholm Castle haunted?
Denmark Reported haunting level 3 of 5

What actually happened
James Hepburn, Earl of Bothwell, third husband of Mary Queen of Scots, was held here as a state prisoner; the castle was partly blown up around 1660 in the Dano-Swedish wars.
The history
Built around 1215 as a palace for the Bishop of Roskilde, it passed to the Crown in 1536 and served as a state prison until 1664. Frederik Christian Adeler rebuilt it in Baroque style from 1694 to 1697.
What people report
Guests and staff speak of a White Lady and a Grey Lady and of Bothwell's ghost riding into the courtyard; the castle is often called the most haunted in Denmark.
That paragraph is reported tradition, not a claim about what is there. The history above it is sourced; the stories are recorded because people tell them.
Visiting
Dragsholm Allé 1, 4534 Hørve, Denmark
The castle is a hotel and restaurant; non-residents should book a tour or a table.