Denmark is part of Europe’s Schengen zone, where borders are meant to be open to allow free movement.
The motorway linking the two countries was closed when around 300 refugees began walking along it.
Witnesses said police tried to persuade them to leave but appeared reluctant to use force.
Sweden and Germany are preferred destinations. Both have more generous refugee policies than their EU neighbours.
Many are reluctant to remain in Denmark where a centre-right government has cut benefits.
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