We construct the smooth vector bundle of tensor densities of arbitrary weight in a coordinate-independent way. We prove the general existence of a globally smooth tensor density field, as well as the existence of a globally smooth metric density for a pseudo-Riemannian manifold, specifically. We study the coordinate description of a covariant derivative over densities, and define a natural extension of affine connections to densities. We provide an equivalent characterization, in the case of a pseudo-Riemannian manifold.