The passenger train appeared to have struck an empty truck trailer that had blown off a cargo train travelling in the opposite direction, as strong winds lashed the region.
The passenger train braked suddenly, survivors said.
"An empty truck trailer on a carriage seems to have fallen off. It either hit the train, or the train hit it," accident investigator Bo Haaning told Danish public broadcaster DR.
He said it was too early to know why or how the trailer fell off.
"All I can say is that there is a trailer missing on the cargo train and there's a trailer involved in the accident."
Sixteen other passengers were hurt in the accident, but police said none had life-threatening injuries.
Two men walk past a damaged cargo train after an accident on January 2, 2019 in Nyborg, Denmark. Source: Getty
Police said the drivers of both trains were being questioned and video surveillance footage of the bridge was being examined to determine the cause of the accident.
Divers were also searching the waters under the bridge for debris that might provide clues.
Images from the scene showed the cargo train standing still on the tracks, the tarpaulin covers of its carriages torn open in places to reveal jumbled cases of beer, while the metal tracks appeared mangled in places.
An unidentified object - presumably the truck trailer - could be seen lying across the front of the passenger train on another track.
Rail operator DSB said six people died in the accident, which occurred around 7:30 am local time on the Great Belt Bridge connecting the islands of Zealand, where Copenhagen is located, and Funen. There were 131 passengers and three crew on board.
Damaged containers on a cargo train are seen on the Great Belt Bridge. Source: Getty
'Loud crash'
Passenger Heidi Langberg Zumbusch had just boarded the train and taken her seat when the accident happened.
"There was a loud crash and the windows started smashing onto our heads. We flew down onto the floor, and then the train stopped," she told Danish public broadcaster DR.
"We were lucky. The people in the carriage in front of us were not so lucky," she said, adding that her co-passengers told her they saw the side of that carriage had been ripped off.
Prime Minister Lars Lokke Rasmussen sent condolences to the families of the victims.
"Regular Danes on their way to work or on their way home after the holidays have had their lives torn apart. It's deeply saddening. My thoughts are with the victims and their families," he said.
A Funen police spokesman told reporters he could not provide details of the accident, but added: "We know that an object hit the train."
Another passenger, 19-year-old Simon Voldsgaard Tondering, told daily Politiken that the train suddenly began to shake violently.
"I looked out the window and there were sparks flying up the side of the train. And then all the windows broke and shards of glass flew over us and panels broke loose. And then everything went black," he said.
"We had to walk over dead bodies lying under the wreckage to help" survivors get out.
1.6km-long bridge
Strong winds were reported across Scandinavia overnight Tuesday to Wednesday, causing power outages, bridge closures and ferry cancellations.
Water levels near Funen were 1.4 to 1.65 metres above normal on Wednesday, according to the Danish meteorological institute DMI.
The Great Belt link consists of a road suspension bridge and a railway tunnel between Zealand and the small island of Sprogo, with a bridge for both road and rail traffic between Sprogo and Funen.
A member of the Danish emergency services at the scene following the train accident Source: EPA
It is the third-longest suspension bridge in the world, measuring 1.6 kilometres along its main span, and the longest outside Asia.
The bridge was closed for several hours due to the accident. Car traffic later resumed while rail traffic was to remain shut in both directions for the rest of the day.
Wednesday's accident was Denmark's deadliest train incident since 1988 when eight people were killed and 72 injured when a train derailed at high speed in Soro, on Zealand.
