After being married in one of Denmark's town halls, you'll receive two multilingual international wedding certificates; they come in Danish, English, German, French, and Spanish.
When you and the two witnesses sign the document, you will each receive a copy of the certificate, which the Danish government will hold onto for 50 years.
We do suggest that once you return home, you get in touch with whichever government or immigration agency you'll be utilising and registering the marriage in to find out if this is required. You might want an Apostille stamp on the certificate if you intend to use it abroad.
