The Russian vessel first crossed into the Danish waters north of the island of Christianso, south of Sweden, at 2:30 am (0030 GMT).
"A few hours later, the same corvette crossed the territorial waters line again, also north of Christianso," the Danish military said in a statement.
"Following a call on civilian VHF radio from the Navy's maritime operations unit, the Russian ship immediately left Danish territorial waters," it added.
The military said it had "nothing further to add".
Denmark's foreign ministry later said it had been in talks with the Russian ambassador, and noted that the incursion occurred after a Russian military spy plane violated its airspace in late April.
"Russia is again ignoring the international rule book by not respecting borders. It has been communicated in very clear terms to the Russian ambassador that this kind of action is completely unacceptable," foreign minister Jeppe Kofod said in a separate statement.
Denmark is a member of NATO and has sent both anti-tank launchers and an anti-ship missile system to Ukraine since Russia's invasion there in February.
Christianso is located some 300 kilometres (190 miles) from the Russian exclave of Kaliningrad.
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