Puigdemont's visit to Denmark could help him avoid problems in Belgium, where European citizens can live without a residency permit for three months, after which they theoretically have to leave.
Carles Puigdemont, the sacked Catalan leader, was nominated yesterday as the next regional president, prompting another showdown between the separatists and Madrid.
'Soon we will form a new government.it's time to end their oppression and find a political solution for Catalonia, he added.
Spain is investigating Puigdemont for possible rebellion, sedition and embezzlement linked to a unilateral declaration of independence by Catalonia's parliament on October 27.
The Catalan parliament will vote to decide its leadership roles and the presidency by January 31.
In Copenhagen, Puigdemont declined to comment any further on the day's events.
Catalan Parliament Speaker Roger Torrent says that Puigdemont is the only candidate with enough backing to attempt a government following regional elections last month.
Spanish courts initially sought Puigdemont's extradition from Belgium but canceled that petition amid concerns that Belgium might send him back but restrict the crimes with which he could be charged. Rajoy hoped to restore stability to the restive region, but results failed to put pro-unity parties in power.
Puigdemont's party, Together for Catalonia, won 35, and the Republican Left of Catalonia (ERC), another separatist party, garnered 32.
The Spanish government has vowed to impede Puigdemont's reinstatement with court challenges, if necessary, and to keep direct control over the region until a new government takes over. However, Rajoy has said Puigdemont must attend the investiture debates in person.
"It won't happen. The only legitimacy is that of article 155".