I am not 100% sure of the Danish law, but I would assume they would be in line with EU law, as they are a EU country.
I married a non EU resident, but was living in the UK, so there should not be a problem as far as I can see. UK law is a little different as they are not a part of Schengen.
You will need to apply for right to settle in a EU country, and your wife will have to provide sufficient documentation that she can provide for you during this initial time. In this case I believe they will give you a temporary leave to remain, and with this you will have the right to work full time. (this is how it works in the UK)
In UK this is for 2 years, where you have to apply again for indefinite leave to remain.
This you do at the end of the 2.nd year.
If I understand correct this is 5 years in Denmark, please check link below.
With regards to this there are many ways to do this, I do not know what your experience level is. There are jobs in Europe if you have much experience, but you must also do a conversion, which normally includes 14 ATPL theory exams, unless you have a certain amount of command time, then there is a reduction of exams, I can't recall the exact figures for this now, but you should find this in the CAA UK Lasors.
New to Denmark - Spouses