The Twelve Dancing Princesses by Robert Shea

A king is puzzled when his twelve daughters' shoes are mysteriously worn through each morning; after many suitors fail to learn their secret, a clever, impoverished soldier (aided by an old woman and a magic gift in some versions) follows them through a hidden passage to an enchanted underground realm where they spend the night dancing with princes. He brings back proof of the nightly revels, reveals the truth to the king, and is rewarded with marriage and inheritance.