Some 200 PEGIDA supporters turned out in Copenhagen, many carrying torches and signs saying "No to violence and racism".
Some also held up covers of French satirical weekly Charlie Hebdo, whose Paris offices were attacked on January 7 by Islamist gunmen.
"Of course there is room for everyone, but when there is talk about women's rights being suppressed or people are killed for Allah... That's what I'm demonstrating against," said a demonstrator who gave her name as Elena.
Branches have since popped up in other European countries.
Around 300 people attended a counter-demonstration in Noerrebro, a Copenhagen district popular with immigrants and students.
In Aarhus, Denmark's second largest city, 30 PEGIDA demonstrators were outnumbered by 300 counter-demonstrators.
In the western city of Esbjerg, up to 100 people took part in a demonstration held by Stop the Islamisation of Denmark (SIAD) while 400 took part in a counter-protest.
"Our goal is to give the middle class a chance to express their worries concerning violent Islam and to send a signal to politicians that we voters are worried," said organiser Nicolai Sennels, who has previously stood for parliament for the anti-immigrant Danish People's Party (DPP).
Danish Foreign Minister Martin Lidegaard called the PEGIDA demos the wrong reaction to what we have experienced", referring to the massacre at Charlie Hebdo in which 12 people were killed.
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