You Do Need power plug adapter while traveling from Saudi Arabia 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 Saudi Arabia is G. This is how they look like.

Saudi Arabia

In Saudi Arabia, outlets of type G are in use.

Type G

Denmark

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

Type C

Type E

Type F

Type K