Andrée Jeglertz's troops delivered a spirited performance in difficult conditions, with rain pouring down which created puddles all over the pitch in La Spezia.
After a goalless first half, Denmark took the lead eight minutes after the restart when Emma Faerge finished cooly past a helpless Italian goalkeeper from the edge of the box as the Danes finally got their reward for their dominance against an Italian team who seemed content just to defend.
However, it only took the home side five minutes to restore parity when Michela Cambiaghi got on the end of a perfect cross to give the local crowd something to cheer about in the dreadful weather conditions.
Sara Holmgaard then restored the lead for the visitors with a superb finish 17 minutes before time. The Everton player received the ball with her back to goal and elegantly tipped it over her own head, before finishing off with a clinical first-timer past the reach of the Italian keeper.
Janni Thomsen put the icing on the cake for the Danes with a third goal on a counter-attack in injury time.
Denmark will be in action again when they face Wales on 4 April and then four days later will pay host to Italy in Herning.