Wales suffered a third defeat of their Nations League campaign as Rasmus Hojlund's second-half penalty gave Denmark a deserved 1-0 victory in Cardiff.
Wales looked for a while like claiming a hard-fought goalless draw on a night when Denmark were by far the more menacing side, with Danny Ward making fine saves to deny Hojlund and Gustav Isaksen.
But the Wales goalkeeper then gave away the decisive spot-kick when he handed possession to Isaksen with a loose pass in the penalty area before catching the Denmark midfielder as he dived in an attempt to recover.
Former Manchester United striker Hojlund calmly converted from 12 yards, sending Ward the wrong way to leave Wales third in Group A4 - courtesy of their head-to-head record against Norway - with two games of what has so far proved a challenging campaign remaining.
Wales go to Norway and host Portugal next month knowing they need at least one positive result to boost their Euro 2028 qualification hopes by avoiding a fourth-place finish in the group.
There was no shortage of endeavour from Craig Bellamy's side at the Cardiff City Stadium, but they lacked the quality in possession to trouble Denmark and could have no complaints over the result.
Denmark carried more threat throughout, with the early substitution of captain Pierre-Emile Hojbjerg - which came on the back of Mikkel Damsgaard's injury withdrawal - not knocking Brian Riemer's team out of their stride.
Towering centre-back Oliver Provstgaard missed the best chance of the first half when he headed over at the far post as Wales creaked but made it to the break on level terms.
Denmark ought to have gone ahead early in the second period when Andres Skov Olsen crossed and Hojlund shot too close to Ward when he seemed destined to score.
Image source, Getty Images
