An officer at the scene said there were no diplomats among the dead and injured.
The suicide blast came from a car bomb, officials said. More than 30 people were injured, and a huge crater was left in front of the building, officials at the scene said.
Past protests about Mohammed caricatures
Several cars were destroyed by the force of the explosion, a reporter at the scene said. Security forces had roped off the attack site.
No one claimed responsibility for the bombing. In the past, radical Islamic terror groups have led similar attacks.
In early 2006, and then again in February of this 2008, caricatures of the prophet Mohammed published in the Danish media set off widespread protests in Pakistan. Denmark had recently downgraded the embassy and moved out most foreign staff due to threats from those earlier protests.
Emergency meeting is called
"It was a suicide attack carried out in a vehicle, apparently targeting the Denmark embassy," a senior Pakistani security official told AFP news service.
Danish Foreign Minister Per Stig Moeller called an emergency ministerial meeting following the attack.
In April, Denmark moved embassy staff in Algeria and Afghanistan to secret locations due to threats linked to the Mohammed cartoons row.
The country also has some 550 troops stationed in Afghanistan's southern Helmand province.