Johanne Schmidt-Nielsen of the leftist Red-Green Alliance (Enhedslisten) and Jacob Mark of the Socialist People's Party (SF) had both criticised Canberra's use of offshore settlements for asylum seekers and conditions at the Nauru camp before travelling to Australia last week.
"After the Danish foreign ministry got involved in the case, Nauru authorities said on Tuesday that the decision (to deny access) remained in force," Schmidt-Nielsen wrote on Facebook.
A Danish foreign ministry spokesman confirmed the information to AFP.
The entire delegation then decided to cancel its visit to the island, even though lawmakers from the Social Democrats, the centre-right Venstre party and the anti-immigration Danish People's Party would have been able to go.
"It is absolutely unacceptable and anti-democratic and says everything about the situation in Nauru that critics are denied access," Schmidt-Nielsen added.
A third lawmaker who had not voiced any criticism against the Nauru immigration centre -- Naser Khader of the Conservative People's Party -- was also denied access.
While Danish media speculated that his application to join the tour may have come too late, Schmidt Nielsen suggested that his Arab name may have played a part in the decision.
Under Canberra's immigration policy, asylum seekers who try to reach Australia by boat are turned back or sent to detention centres in the Pacific island states of Nauru and Papua New Guinea.
The release of more than 2,000 leaked reports of incidents on Nauru earlier this month revealed allegations of widespread abuse and self-harm, including children wanting to kill themselves, and renewed calls by rights groups for refugees to be resettled elsewhere.
Britain's Guardian newspaper, which published the Nauru reports, said that only two Australian journalists had been granted access to the Nauru detention centre in the past three years, and Schmidt-Nielsen had said that she would use the trip to ask "critical questions".