Depends on the time period considered.
From the break-up of the Scandinavian Kalmar union in the early
16th century, Denmark's main adversary was Sweden which made Russia
the main ally for centuries.
In the 3o year war Denmark was on the protestant side, which
would make England and Holland the main allies (supplying the
finances for the hired army).
During the survival struggle in the 1660 Holland was an alley
without which Denmark probably wouldn't have existed today.
In the Napoleonic wars Denmark was initially allied with various
neutral Baltic countries (primarily Russia) trying to avoid having
to side with neither France nor Great Britain. Eventually Denmark
was forced to side with France.
Related Q&A：
Who are Denmark's enemies？-Well, you know, in the modern world, it's not really about having traditional \enemies\ like in the old days. Denmark, like most countries, tries to have good relations with others. But if we look back in history, there might have been conflicts with certain neighboring countries or powers at different times. But these were specific to particular periods and circumstances. Nowadays, it's more about cooperation and finding common ground rather than thinking in terms of enemies. Oh, and international politics is so complex that it's not that simple to just point out who the enemies are.
