A 60th minute header from Denmark's Ebbe Sand consigned Scotland to defeat in the Copenhagen friendly.
The Danes, who are heading to Euro 2004, created several good chances but Scotland defended in determined style.
The goal came when Sand reacted quicker than Steven Pressley to nod home a flashing cross from Jesper Gronkjaer.
But it was a spirited Scotland showing, with Darren Fletcher going close and James McFadden forcing two good saves from Danish keeper Thomas Sorenson.
Despite the result taking Scotland's recent run of defeats to four in a row, it was a much-improved performance.
Fletcher, goalkeeper Paul Gallacher and right-back Gary Caldwell enjoyed good games, while Norwich City's Malky Mackay made a solid debut in central defence.
His club-mate Gary Holt was not so lucky, however, and left the field on a stretcher after 13 minutes following a clash with former Celtic midfielder Morten Wieghorst.
McFadden had a chance in the third minute when he cut into the penalty box from the left flank, but Rene Henriksen stepped across to block his shot.
And in the ninth minute there was a let-off for the Scots when Jon Dahl Tomasson shot wide from 10 yards after Gronkjaer's pass had carved open the visitors.
Denmark went close again through Martin Jorgensen as the home side's passing game began to take hold, and the same player soon saw another long-range effort deflected wide.
Fletcher sent a low drive fizzing just wide of the post on 38 minutes, but as the break approached Gallacher was forced to save well at Tomasson's feet.
Darren Fletcher came close to scoring for Scotland
And Denmark then appeared to have a strong penalty claim when Pressley challenged Jorgensen.
Half-time replacement Neil McCann marked his arrival with a raking shot from 25 yards that flew narrowly wide of the mark.
In the 57th minute Sorenson was at full-stretch to get his fingertips to a low 20-yard shot from McFadden.
But three minutes later the Scots were behind when substitute Sand got in front of the ponderous Pressley to head home a Gronkjaer cross from close range.
A minute later, Gallacher made a wonderful save to push Gronkjaer's fierce angled shot onto the crossbar and keep Scotland in the match.
An exciting passage of play then saw Kevin Kyle release McFadden but the Everton forward shot tamely at Sorensen.
Gallacher once again showed good hands to hold a useful curling free kick from Jensen.
With ten minutes remaining the Scots were tiring and Sand's shot was deflected into the side-netting, while McCann had to clear from the goal-line at the resulting corner.
Scotland scrapped gamely in the closing stages but seldom looked like finding an equaliser and have now failed to score in six of their last eight friendlies.
Denmark: Sorensen, Wieghorst (Retov 81), Henriksen (Kroldrup 65), Laursen, Niclas Jensen (Sennels 45), Helveg, Daniel Jensen, Gronkjaer (Rasmussen 84), Tomasson (Sand 45), Jorgensen (Rommedahl 65), Claus Jensen (Perez 45).
Subs not used: Nielsen, Priske, Skov-Jensen, Andersen, Madsen.
Scotland: Gallacher, Gary Caldwell, Mackay, Pressley, Crainey, Fletcher, Holt (Canero 16), Dailly, Cameron (McCann 45), Kyle, McFadden.
Subs not used: Gordon, Stephen Caldwell, Kenny Miller, Graham Alexander, Thompson, Webster, McNamee, Marshall.
Booked: McFadden, Gary Caldwell.
Referee: Martin Ingvarsson (Sweden).