The first half saw a 50/50 battle between Wales and Denmark with big chances going to waste for either side.
Gareth Bale flashed a darting shot past Kasper Schmeichel's post, which, in the end, turned out to be Wales' only real threat in the game.
Kasper Dolberg shifted into top gear either side of half-time, however, sinking Rob Page's side with a stunning double before Joakim Mæhle and Barcelona's Martin Braithwaite added two late on to deal Wales their final blow.
After being the underdogs in a Euro competition once again, many were surprised to see Wales finish second in Group A alongside Italy (one of the favourites to win the tournament), Switzerland and Turkey.
Despite it not being a do-over of EURO 2016, the side will have plenty to be proud of, while also having many aspects to reflect on.
Denmark's discovered talents
Mæhle has played every minute of Euro 2020 so far, bagging a goal against Russia and now, Wales.
What makes his performances all the more impressive, is that the young man has been playing at left wing, rather than his more conventional full-back position.
Dolberg (23): Despite only recording six goals in 25 Ligue One appearances this season, Dolberg has carried Denmark from the front in his last two games, scoring twice and holding the ball up well for his fellow attackers.
Dolberg broke into the first team back in 2016 as a 19-year-old but has been in and out of the squad with injury and playing for the Under 21s, or has been stuck on the bench instead.
Could this be Dolberg's big break?
Is age an issue?
After being questioned about his future during a post-match interview, Bale fled the scene without saying a word, sparking debate about whether the Wales superstar may have played his last match for his country.
Of the Euro 2016 squad, eight are in the current team. Those eight helped Wales make history - a semifinal in a major tournament.
The Red Wall waited 58 years for that moment. That feeling was always going to be hard to beat.
However, Page had a more positive outlook, with Wales boasting the third-youngest squad at Euro 2020.
"They might not think that now but, when you strip all the emotion out of it, that will hold us in good stead for the future," Page explained.
"They're a young group and there are World Cup qualifiers around the corner in September, and we'll go again.
"We've had a taste of tournament football now and we want more of it."
A touching tribute
Before the game, Bale and Wales presented their gift to Denmark - a signed and framed Wales shirt for Christian Eriksen.
Eriksen suffered cardiac arrest during their 1-0 loss to Finland, an opening to a tournament gone wrong.
The 29-year-old midfielder had emergency medical treatment on the pitch before being taken to hospital, where his condition was stabilised.
With the wind in their wings, and the love and support, Denmark became the first team to score 4+ goals in consecutive matches in EUROs history.
Are Denmark the true dark horses?