A$AP Rocky turned his Copenhagen concert into a family affair ... bringing Rihanna and their son Riot onstage in the middle of his set.

The surprise cameo went down Friday at Royal Arena, where Rocky was performing "Lord Pretty Flacko Jodye 2" during the European leg of his "Don't Be Dumb" World Tour.

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Check out the clip ... RiRi holds 3-year-old Riot right beside Rocky as flames shoot into the air and the trio takes in the roaring crowd together.

Riot eventually gets on his feet and stands between his famous parents as Rocky keeps the performance rolling ... giving him a view most fans could only dream of scoring.

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He even gets a turn speaking into Dad's megaphone ... before the father-son duo seals the moment with a fist bump.

Rocky and Rihanna are now parents of three -- sons RZA and Riot, and daughter Rocki, who celebrated her first birthday earlier this month.

Friday night, though, it was Riot's turn to rock with Mom and Dad!