Bellamy's strike took his tally ahead of the legendary John Charles, and the Wales skipper is now equal fifth top scorer in his country's history alongside Mark Hughes and Cliff Jones.
This was the night 17-year-old Aaron Ramsey was to be the centre of attention, and the Arsenal youngster certainly did well on his international debut.
But it was Bellamy, the oldest Welshman on the pitch, who eventually stole the show.
He had missed a couple of golden opportunities in the first half, but 13 minutes from time a fine run and drive secured victory as he led his side of young stars to victory.
Ramsey, as expected, won his first full Wales cap in the Brondby stadium as manager John Toshack made five changes from the side that lost to Germany in a World Cup qualifier.
For this friendly, Toshack was not only able to give Ramsey his chance, but also field several other bright youngsters.
West Ham's Jack Collison made only his second start for Wales while Ched Evans was included up front alongside Bellamy.
Denmark had three English-based players, Liverpool's Daniel Agger, Stoke's Thomas Sorensen and Arsenal's Nicklas Bendtner in their side.
But all Welsh eyes were on Ramsey, the boy who could well carry the fans' dreams for a decade.
And he fitted calmly into midfield, with confidence and balance on the ball.
Denmark created the first chance when Morten Nordstand shinned a shot wide from Michael Krohn-Dehli's cross.
But from then on Wales had a string of decent first-half opportunities. After eight minutes Gareth Bale fed Evans, who saw his drive deflected wide off Thomas Rasmussen.
Then David Edwards' pass allowed Bellamy to out-pace Kasper Begelund on the right.
The skipper forced himself into a great position on the right of the box, but instead of rolling the ball across to the unmarked Ramsey, he tried to bend a shot around Sorensen and the opening was wasted.
Then it was Evans' turn. He forced his way past Rasmussen in the box, but as he tried to go round Sorensen, former Everton defender Per Kroldrup shepherded the ball to safety.
Bendtner was lively and elusive, stretching the Welsh defence. And the hosts were thwarted by Boaz Myhill, who pulled off a fine block from Nordstrand, after more good work from Bendtner.
After 37 minutes, Bellamy again failed to make the most of a golden chance. Edwards' pass sent Bellamy clear of the offside trap and he raced into the box only to delay his shot and allow Agger the chance to get in a desperate block.
Two minutes later, Bellamy got to the line and set up Evans from close range, but again Agger got in the telling interception at the last moment.
And a minute from the break Bellamy again got past Begelund, but Evans hooked over from another inviting pass into the six-yard box.
Wales sent on Sam Ricketts for Edwards at the break - Bale moving into midfield - with Denmark replacing Begelund, Rasmussen and Nordstrand with Leon Andreasen, Patrick Mtiliga and Soren Larsen.
Larsen made an immediate impact with his strength and height, and when Myhill fumbled a fierce low drive from the Toulouse striker, Andreasen put the rebound over the bar.
Bale tested Sorensen with a low shot from 20 yards after 58 minutes.
Wales then replaced Evans with Sam Vokes, while Denmark sent on Mathias Jorgensen for Kroldrup and Martin Vingaard took over from Krohn-Dehli.
Wales had far fewer chances in the second period, the pace of the game lessening.
And it was Denmark making more headway. But after 77 minutes Bellamy produced a fine goal to give Wales the lead.
He cruised past Jorgensen 40 yards out and motored on before drilling a fine, low drive from the edge of the box low into the bottom corner.
Bale came off with a back problem after 86 minutes, Oldham's Neil Eardley taking over. Then Owain Tudur Jones took over from Ramsey.
In injury time, Myhill produced an outstanding save to touch away a close-range effort from Vingaard. Then Larsen headed against the bar a minute later as Wales desperately held on.