Officials say a Russian plane entered Danish airspace on Friday evening east of the Danish Baltic island of Bornholm before flying into Swedish airspace.
Denmark and Sweden have summoned Moscow's ambassadors after a Russian spyplane violated the airspace of both countries.
"The Russian ambassador is summoned to the foreign ministry tomorrow," Danish Foreign Minister Jeppe Kofod tweeted on Sunday, referring to a "new Russian violation of Danish airspace".
The Swedish foreign ministry also said the Russian ambassador would be summoned in Stockholm.
"There exist established procedures for this kind of case. It concerns notably summoning the representative of the implicated nation to the foreign ministry," it said in an email.
Kofod added it was "totally unacceptable and particularly worrying in the current situation", alluding to Russia's attacks on Ukraine and rising tensions with NATO, where Denmark is a member.
"It was a reconnaissance plane that was in our airspace for a very brief moment. Two Danish F-16 immediately intervened," Henrik Mortensen, a Danish Defence Command press officer, said on Sunday, adding such incidents are rare.
Denmark is a member of NATO, unlike Sweden where a debate is taking place over whether it should abandon its non-aligned status and join the alliance.
Questioned by the Dagens Nyheter newspaper, the Swedish defence minister said there was no proof that the breach was linked to current discussions on Stockholm eventually joining NATO.
Russia has already signalled that Stockholm and Helsinki, which is also contemplating membership, should consider the consequences of such a move on bilateral relations and Europe's overall security architecture.