The home side created the first opportunities after a quarter-hour when Gustav Isaksen’s left-footed half-volley from just outside the area went wide of the left post.
A minute later, Patrick Dorgu headed wide from Isaksen’s cross into the area. Having been very much on the front foot, Denmark thought they had taken the lead shortly after when Rasmus Hojlund’s chipped pass across the area was volleyed home by Isaksen, however, a VAR check ruled the goal out for offside.
Wales were given another scare just moments later when Mikkel Damsgaard’s effort from just outside the area came back off the right post and away to safety.
The visitors began to grow into the contest and came close to taking the lead twice before half-time when Sorba Thomas fired wide from just outside the area before Connor Roberts’ close-range effort was tipped over the crossbar by Filip Jorgensen, as Craig Bellamy’s men finished the first half in the ascendancy.
The Dragons could sense an opportunity against an under-pressure Rod-Hvide outfit, with Neco Williams seeing an effort from 25 yards gathered by Jorgensen three minutes after the restart.
However, the Danes were celebrating the opening goal just five minutes later as Damsgaard’s free-kick into the area took a slight touch off Hojlund before also coming off Ben Davies to send it past Danny Ward.
Wales almost found an immediate response when Thomas’ cross into the area evaded the head of Kieffer Moore before going just wide of the right post.
Substitute Mohamed Daramy spurned a gilt-edged opportunity when he shot wide from close range, but his blushes were spared moments later as the hosts doubled their advantage with just under 25 minutes remaining.
Wales failed to clear their lines from a free-kick, with Isaksen swinging his foot at the loose ball and seeing his effort go in off the underside of the crossbar.
Hojlund had a late goal ruled out for offside, but it made no difference as Denmark claimed their first victory of this latest instalment of the Nations League.
The Danes are now unbeaten in their last nine home matches and remain third in group A4, while Wales are now winless in their last six outings and sit at the foot of the table after two matches.
Flashscore Man of the Match: Gustav Isaksen (Denmark)