Sanna Holmqvist, press officer at Öresundsbron, which manages the bridge, confirmed to the Kvällsposten tabloid that five people had been arrested on Sunday afternoon.
She said they had been seen walking on the motorway towards the Øresund tunnel and bridge connecting Copenhagen to Malmö in Sweden – the second such incident in less than a week.
"Because it was on the Danish side we called our Danish colleagues. They took a few people into custody," police spokesperson Ewa-Gun Westford told Swedish public broadcaster SVT.
Danish police confirmed to TV2 that all five, an adult and four minors, had previously sought asylum in Denmark.
"We went out and got them, and they were taken back to the refugee camp where they are staying," said police control room officer Carsten Reenberg.
The incident came just hours after Swedish police arrested a man allegedly trying to smuggle a migrant into the country
aboard a rubber dinghy from the Danish town of Helsingør to Helsingborg.
Refugee support groups have expressed fears of human trafficking and dangerous clandestine crossings across the Baltic as a result of Sweden's ID checks
And Westford said she would not be surprised if more people attempted to avoid the controls either by boat or by attempting to cross the Øresund Bridge on foot.
"We know from other occasions when there are new rules that it's first quiet for a couple of days and then people try to find new ways around the obstacles," she said.
The Local has contacted Danish police for a comment.
Meanwhile, Sweden's infrastructure minister Anna Johansson visited the region on Monday to meet with Danish counterparts, who have voiced concern over the checks in the integrated Øresund region. More than 8,000 commuters from Sweden and Denmark travel daily by train across the bridge.
"Of course we're listening to Danish views and will see if it is possible to solve the issues that are causing the most problems. But we have a strong interest in bringing down the number of people seeking asylum in Sweden," the minister told reporters after a meeting in Copenhagen.
A country of 9.8 million people, Sweden took in 163,000 asylum seekers last year, more per capita than any other EU nation. Denmark, with a population of 5.6 million, received around 18,000 asylum seekers.