The Taliban has claimed reponsibility for the attack, saying they killed 20 soldiers.
It was the first time that Danes have been killed in a suicide attack in Afghanistan. Denmark has 600 troops in Afghanistan serving under Isaf.
Monday's attack came a day after a Danish soldier was wounded while on a patrol in the same region. The Danish unit was attacked with handguns and rockets, the army said.
Violence in Afghanistan has spiralled since the Taliban relaunched its campaign to topple the pro-Western Afghan government and eject foreign troops two years ago.
More than 12,000 people, including some 350 foreign soldiers, have been killed since 2006 in Afghanistan, according to estimates.
On Sunday night, one Canadian soldier was killed by an explosion in Kandahar, Isaf said.
Helmand is perhaps the most volatile province in Afghanistan and the prime producer of the country's growing opium and heroin production, which in part funds the conflict.