Kasper Hjulmand's reign as Denmark coach got off to a bad start when Jason Denayer put the visitors ahead in the ninth minute after losing his marker to score from close range off Dries Mertens' corner.
The home side pressed high up the pitch and captain Simon Kjaer did a good job of shackling Belgium's target man Romelu Lukaku but, despite decent chances for Martin Braithwaite and Christian Eriksen, they struggled to get many shots on target.
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The Belgians took over in the second half, with substitute Dennis Praet snapping up the ball form an attempted clearance and forcing a smart save from Kasper Schmeichel.
There was little Schmeichel could do in the 77th minute, however, after he parried a shot from Youri Tielemans and Mertens reacted quickest to slam the ball home and double the advantage as Belgium coasted to victory.
On Tuesday, Denmark host England, who beat Iceland 1-0 in Reykjavik on Saturday, while Belgium face Iceland in Brussels.
"After ten months, we are back together now for only five days and it took a little time to adapt," Mertens told Belgian TV. "Our second half was better, but I must say that the first goal was very welcome."
Coach Roberto Martinez praised his side's team spirit after their long layoff from international football.
"After not being together for ten months, I saw the values and mentality of the Red Devils again. I admit we had to adapt. But all heads are on the game against Iceland now," he said.
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