Having joined up with the Denmark squad late, Jannik Vestergaard was reduced to a place on the bench as Romelu Lukaku scored twice to ensure Belgium secured their place at the Nations League finals.
Eventually running out 4-2 winners, Belgium join France, Spain and Italy in the competition finals, which will take place in October 2021.
In the corresponding group fixture, England were 4-0 winners over Iceland, but regular Saints representatives James Ward-Prowse and Danny Ings are continuing their recoveries from respective injury problems at Staplewood.
Elsewhere, Jan Bednarek was involved in Poland's narrow 2-1 loss to the Netherlands, as goals from Memphis Depay and Georginio Wijnaldum ignited a comeback win.