Striker Katlego Mphela grabbed a fifth goal in as many games at the end of an intricate 76th minute passing move that encapsulated the philosophy the side have absorbed from coach Carlos Alberto Parreira.
Written off last year as they tumbled down the world rankings, South Africa have now gone 12 games without defeat since the World Cup-winning Brazilian coach returned to the helm of the team in November.
Parreira played his likely first choice line-up at Atteridgeville's Super Stadium, in a final run-out before meeting Mexico in the World Cup opener on June 11.
The game was played at a steady pace but had few clear cut chances, the first coming just before the half hour mark when Teko Modise's header missed the target.
Denmark's Daniel Agger headed the ball against the South African woodwork in the 31st minute at the end of a Jesper Gronkjaer free-kick and a shot from Jesper Christiansen had the sting taken out of it by a deflection as the Danes had looked poised to open the scoring in the 65th minute.
South Africa finished the stronger, though, thanks to intense fitness work over the last three months at training camps in Brazil and Germany, with Danish goalkeeper Stephan Andersson making two saves in quick succession to deny Siphiwe Tshabalala and Mphela just after the 70th minute mark.
The goal came after a swift passing move through midfield and out wide to Mphela, who cracked home a shot from an angle on the right.
Denmark have lost two warm-up matches in South Africa this week, also beaten on Tuesday by Australia in Johannesburg.
