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He is due to be officially crowned in elaborate Buddhist and Brahmin ceremonies on Saturday, followed by a procession through Bangkok the next day.
In 2014, Vajiralongkorn appointed Suthida Tidjai, a former flight attendant for Thai Airways, as a deputy commander of his bodyguard unit.
Some royal observers and foreign media had linked Suthida romantically with the king, but the palace had previously never acknowledged a relationship between them.
The king made Suthida a full general in the Royal Thai Army in December 2016, and the deputy commander of the king's personal guard in 2017.
Among the dignitaries at the wedding were Prayuth Chan-ocha, the leader of the military junta that has run Thailand since a 2014 army coup, as well as other members of the royal family and palace advisers, the wedding footage showed.
Vajiralongkorn has previously been married and divorced three times and has seven children.
While the king took the throne after the death of his father, his formal coronation follows a mourning period for King Bhumibol, whose royal cremation was held a year after his death.