In the Middle Ages, knightly games and tournaments took place in the Stallhof (Stall Courtyard), which is part of the big Royal Palace complex. Today, the court between the Johanneum and the "Langer Gang" (Long Arcade) is used for cultural events. The Procession of Princes is located on the outside of the Stallhof, on Schlossplatz Square.
https://www.dresden.de/en/tourism/attractions/sights/old_town/stallhof-and-procession-of-princes.php