The suspects face charges of attempted terrorism and weapon possession. According to Denmark's TV2, the three have pleaded not guilty.
The alleged plan was to “carry out a Mumbai style attack” the head of Danish intelligence agency PET said.
The 2008 attacks in Mumbai saw 10 heavily armed gunmen trigger a stand-off that left 166 people dead.
PET said the suspects were a 44-year-old Tunisian, a 29-year-old Swede born in Lebanon, and a 30-year-old Swede. Media reports say a 26-year-old Iraqi asylum seeker who was also arrested will be released.
Danish intelligence officials seized "plastic strips that could have been used as handcuffs, a sub-machine gun with silencer as well as ammunition".
Danish media have called for press freedom to be protected following the incident.
It's striking that Jyllands-Posten had once again been threatened "just because the newspaper used the freedom of speech secured by the constitution," Berlingske Tidende's editorial said Thursday.