You Do Need power plug adapter while traveling from Lesotho to Denmark.

Here is Why You Need An Adapter

The outlet and plug type used in Denmark are C, E, F and K and in Lesotho is M. This is how they look like.

Lesotho

In Lesotho, outlets of type M are in use.

Type M

Denmark

In Denmark, outlets of type C, E, F and K are in use.

Type C

Type E

Type F

Type K