The shooting happened in a parking lot in front of a supermarket in Aalborg, reports TV2 Nord.
The two injured people have been arrested and the identity of the third arrested person is unclear, according to the report.
One person is said to have turned themselves in at Aalborg University hospital with a shooting injury to the leg.
“There is one injured person who was hit in the leg and another who has received an injury, probably in conjunction with the commotion out there,” duty officer Karsten Højrup Kristensen of North Jutland Police told news agency Ritzau.
Several cars drove away from the scene shortly after the shooting, which was reported to police at 9pm on Sunday, reports Ritzau.
There was a heavy police presence at the scene on Sunday night.
“We are investigating flat out to obtain as much information as possible,” Kristensen said.
The man who was shot in the leg is currently at Aalborg University Hospital where he is under police observation.
The second injured man is now at Aalborg Police Station.
Neither wishes to cooperate with police, reports Ritzau.
“But there have been several witnesses that have contacted us following the incident, and we are now trying to make head and tail of things. A number of the reports from witness have been useful,” Kristensen told the agency.