Danish police said they were prosecuting "three people for financing and promoting terrorism in Iran, including in collaboration with a Saudi intelligence service".
"We will not accept such activities under any circumstances and our ambassador in Riyadh has repeated the same message directly to the Saudi authorities," Foreign Minister Jeppe Kofod said in a statement, in which he deplored "new very serious charges".
The trio, all living in Denmark and members of Arab separatist group ASMLA (Arab Struggle Movement for the Liberation of Ahvaz), have been facing prosecution since February for spying for Saudi intelligence.
ASMLA is based in Denmark and the Netherlands, according to the Dutch authorities.
According to Danish intelligence service PET, they worked for Riyadh between 2012 and 2018.
They are also alleged to have been the target of a planned attack on Danish soil in the autumn of 2018 in retaliation for the killing of dozens in Ahvaz, southwestern Iran, in September 2018 during a terrorist attack.
Tehran has formally denied the attack plan in Denmark.
In September 2018, the Saudi-backed terror outfit claimed responsibility for a deadly attack on a military parade in Ahvaz. The assault killed 25 people and injured 70 others. Saudi Arabia had denied that it had provided financial support to the attackers.
AFP and Press TV contributed to this story.