Jones gave a debut to Dan Cox, who lined up in a central defence back three, while fellow new faces Gabriele Biancheri, Vimal Yoganathan and Kit Margetson were on the bench.
Denmark arrived as Group I top seeds and were captained by Oscar Hojlund, younger brother of Rasmus Hojlund – the Manchester United striker who has joined Napoli on loan with an obligation to buy.
Wales were on the front foot from kick-off and when Luey Jones played a lofted ball down the left wing for Nyakuhwa, the Cardiff City youngster cut in-field before unleashing a low strike that flew past Theo Sander into the Danish net.
Nyakuhwa then created a second before the break, rolling his marker and racing away to pick out Popov with an incisive through ball, the striker crashing a left-foot shot into the far top corner.
Denmark hit back when Clement Bischoff cut the ball back from the left wing for the advancing Jorgensen to bury past Evan Watts.
The visitors levelled early in the second half when Hojlund picked out Daghim on the right, who was given far too much time to pick his spot low back across Watts.
Wales escaped when Harder cut inside only to see his left-foot shot cannon back off the crossbar, before Watts had to get down smartly to deny Jorgensen.
Denmark’s second-half dominance finally told when Bischoff managed to prevent the ball going dead and dug out a looped cross for Conrad to head home at the back post.
Schwartau sealed Denmark’s victory as the substitute bulldozed his way between Watts and Cox to claim a ball over the top and poke home.
A night that had begun so encouragingly for Wales ended with them conceding two more goals, as Denmark ripped through their right flank twice in quick succession.
Priske was the first beneficiary, dinking the ball over Watts as the keeper went to ground too early – although the Swansea City product was given no chance by Andersen’s low finish into the far bottom corner two minutes later.
After the reverse against Denmark, Wales host Belgium on 10 October then travel to Austria four days later, with Belarus the other pool opponents.
