An arrest warrant was issued for Chung Yoo-ra -- daughter of Choi Soon-sil -- in December for alleged interference of business.
Choi was a friend and informal adviser to South Korean President Park Geun-hye, and has been described as a Rasputin-like character
to the leader.
Chung was taken into custody Sunday night in the northern Danish city of Aalborg by North Jutland Police and appeared in court Monday. She was remanded in custody for four weeks.
Danish authorities said they have asked the South Korean Ministry of Justice to send a formal extradition request.
At a press conference on December 21, Lee Kyu-chul, a spokesman for South Korea's special counsel team, told media that Chung -- a medal-winning equestrian -- was suspected to be in Germany.
"South Korean prosecutors plan to seek cooperation with German prosecutors on her arrest and freezing assets belonged to both Choi and Chung in Germany," he said at the time.
Chung, 20, is a well-known figure in South Korea. She won gold as a member of the group dressage equestrian event at the 2014 Asian Games.
She's also attracted public attention due to her family's high profile, and suggestions that she's used their connections to her advantage.
Last year Chung was accused of receiving special treatment to secure admission to Ewha Woman's University, a top school in Seoul. After the scandal emerged, the university canceled Chung's admission and expelled her. The head of the university also resigned.
Chung is also reported to have received 2.8 million euros from Samsung.
During a parliamentary hearing in early December, Samsung's J.Y Lee admitted the company had provided Choi's daughter with a horse and apologized.
He said he didn't recall how much Samsung had provided to Choi and Chung in total.
Choi, a close confidant of President Park Geun-hye, is on trial on charges of abuse of power and attempted fraud
following accusations she had access to secret government documents and intervened in state affairs.
After weeks of protest, South Korea's parliament voted on December 9 to impeach Park.