The predators came from Germany to settle in western Denmark's agricultural region, the least densely populated in the Scandinavian country.
Peter Sunde, scientist at Aarhus University, told AFP the wolves must have walked more than 500 kilometres.
"We think these are young wolves rejected by their families who are looking for new hunting grounds," the researcher added.
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Scientists have now established a genetic profile from the faeces of five wolves -- four males and one female -- but there could be more.
"Now we have evidence (including) that there's one female," signalling the possibility of giving birth this spring, Sunde said.
Proof was also established through the wolves' fingerprints and video surveillance showed their location, which scientists refuse to reveal out of fear that it will attract hunters.
"We're following that. The wolf is an animal we're not allowed to hunt so we must protect it," Henrik Hagen Olesen, spokesman at the Danish Environmental Protection Agency, told AFP.
Exterminated by hunters, wolves had been completely extinct in Denmark since the beginning of the nineteenth century.
In other Nordic countries with a higher wolf population, culling the species, protected by the Bern Convention, is under a fierce debate between inhabitants, farmers, hunters, the government, the European Union and wildlife activists.