A Wales side showing six changes from the 1-0 loss to Portugal three days earlier were unable to lay a glove on their dominant hosts in the opening half an hour.
After Isaksen and Patrick Dorgu were both off target with half chances, Brian Riemer's side thought they had gone ahead.
Damsgaard picked out Rasmus Hojlund, whose cross was superbly met by Isaksen's volley from 12 yards out, although the video assistant referee (VAR) disallowed the effort for an offside in the build-up.
Damsgaard drilled against the post from the edge of the visitors' 18-yard box just a minute later as their goal continued to live a charmed life.
It took until the 33rd minute for Wales to show anything in attack as Sorba Thomas' curling effort flew just wide.
Brennan Johnson was then wasteful with a free-kick before Connor Roberts was well denied by Filip Jorgensen from close range as Wales improved.
Neco Williams' deflected strike was comfortably dealt with shortly after the restart as Wales looked to build on their encouraging end to the first half.
But the deadlock was broken after 53 minutes when Damsgaard's fizzing free-kick took a deflection off captain Davies and went beyond goalkeeper Danny Ward.
Thomas' curling cross flew agonisingly wide of Jorgensen's back post almost immediately.
Moments later, though, Mohamed Daramy spurned a golden chance before the hosts did manage to double their lead.
Kieffer Moore cleared off his own line, only for Isaksen's deflected follow-up effort to loop into the net - with the goal being awarded following a VAR review.
Roberts fired straight at Jorgensen as Hojlund had a late goal disallowed for offside.
The damage had long been done as Denmark eased the pressure on boss Riemer, while ensuring Bellamy's wait for a victory over a team ranked above Wales goes on.
Image source, Getty Images
