Authorities arrested the suspect and confirmed the incident to the local newspaper Jyllands-Posten, but have not released the suspect's identity or further information about the case.
Reports claim that PM Frederickson was beaten in an attack, though the severity of her injuries remains unclear.
The prime minister's office said that Frederiksen was left "shocked" by the incident, which occurred in Kultoervet public square.
Magnus Heunicke, the country's environment minister, called the attack "ugly and unacceptable."
"Denmark's Prime Minister Mette Frederiksen was today assaulted and beaten by a man on Kultorvet in Copenhagen. Mette is naturally shocked by the attack," he said. "I must say that it shakes all of us who are close to her."
"Something like this must not happen in our beautiful, safe and free country. We all have a responsibility to look after each other and the values our country is built on. The police have arrested a man for the assault," said Heunicke.
Denmark voters are scheduled to cast a ballot in Sunday's European Union elections.
Frederiksen's attack occurred a few weeks after Slovakian Prime Minister Robert Fico was shot and wounded in what was the first significant attempt in almost 20 years to assassinate a political leader in Europe.
This is a developing story.
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