The Prince's visit is part of the British royal family's enlistment in a broader initiative by the UK to boost the kingdom's image in other European countries in the light of Brexit, reports news agency Ritzau.
But the referendum decision is not included on any part of Prince Harry's itinerary for his visit to the Danish capital.
Instead, the visit focuses on social initiatives.
Prince Harry arrived in Denmark on Wednesday, when he visited KPH Innovation House, an organisation engaged with social, cultural and environmental issues located in Copenhagen's Vesterbro neighbourhood. .
He then stopped off at the nearby Game Denmark centre for street sports.
On Thursday, Prince Harry and Denmark's Prince Joachim visited a project supporting Danish armed forces veterans at the Svanemøllens Kaserne barracks in Copenhagen.
Veterans at the barracks included the Danish team from the Invictus Games, a multi-sport event for veterans founded by Prince Harry, who has served with the British army in Afghanistan on two occasions.
Photo: Stine Bidstrup/Polfoto/Ritzau
The Prince also attended a volunteering workshop at Copenhagen's Ørestad Gymnasium.
On Wednesday morning, he visited Denmark's Queen Margrethe, although he did not meet the Crown Prince and Princess Frederik and Mary, who were engaged by prior commitments, according to Ritzau's report.
Prince Harry has today started a two-day visit to Copenhagen in Denmark. The visit is focusing on projects which help young people in the city. His Royal Highness met Her Majesty Queen Margarethe II of Denmark this morning. The queen has been reigning monarch since 1972 and the official Audience took place at The Palace of Amalienborg, the official residence of the Danish Royal Family. Then Prince Harry visited @KPH_copenhagen which is a community of start-ups, focusing on improving society through social, cultural and environmental goals.
It is Prince Harry's first visit to Denmark.