The man died after being shot, Copenhagen Police confirmed in a press statement.
No suspect has yet been arrested in connection with the crime and police are unable to give any further details as to its motive.
But the victim was connected to the Loyal to Familia organised crime group, according to information provided to Ritzau.
Police declined to comment on any possible connection.
A witness discovered the man at 7:05am on Thursday and alerted authorities. He was declared dead at 7:22am.
“It is sad that a young person has lost their life, but we do not yet know the background,” Copenhagen Police Chief Superintendent Torben Svarrer said.
An area of the park was cordoned off on Thursday as police carried out forensic examination of the crime scene.
Copenhagen Police have also called for public assistance with their investigation.
Police are looking for witnesses who may have been in the Valby Park area after around 10pm on Wednesday or may otherwise have any information related to the shooting.
“We would very much like to hear from anyone who may have been present in the area during that period of time [Wednesday night, ed.],” Svarrer said.
Police can be contacted using the 114 telephone number.
Violence connected to a conflict between gangs plagued Copenhagen during much of last year. Several gang-linked individuals as well as innocent passers-by were injured in shootings numbering into the high twenties.
Three people were killed as a result of the violence.
A ceasefire reportedly brokered by fathers of group members has been in place since November.
Svarrer declined to speculate on whether Wednesday's shooting could cause the situation to flare up again.
“I simply can't comment on that. It's far too early,” he said.
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