The sound of 67,000 fans at Wembley stadium spurred England on as the Three Lions made a bright start to the semi-final.
However, after a good opening few minutes from the hosts, momentum began to shift in favour of the Danes.
Kasper Hjulmand's side looked dangerous and it wasn't long before they made England pay.
On the half-hour mark, the visitors were awarded a free-kick from around 30 yards out. Mikkel Damsgaard stepped up and produced a spectacular strike to give Denmark the lead.
His disappointment soon turned into jubilation as seconds later, England bagged their equaliser.
Bukayo Saka powered into the area and delivered a low cross into the path of Sterling. The Man City forward was destined to put the ball into the back of net until Danish captain, Simon Kjaer, beat him to it as he scored the tournament's 11th own goal.
In the second half, it was Harry Maguire who had arguably the best opportunity to give England the lead. The Manchester United centre-back headed the ball on goal but was denied by an outstretched arm of Schmeichel.
As regular time ticked by, England turned up the heat but failed to find a breakthrough despite numerous attempts. For the first time in the tournament, both teams went into extra-time.
England pushed on offensively and were rewarded in the 104th minute when referee Danny Makkelie awarded the Three Lions a penalty for a foul on Sterling.
Kane stepped up to take the spot kick but his poor strike was saved by Schmeichel. Fortunately for the Tottenham striker, the ball landed back at his feet as he powered the rebound into the back of the net.
Stat of the day
From OptaJoe: "Denmark's goal was the first scored against England since March, ending a run of 691 minutes without conceding for the Three Lions."
A historic final awaits at Wembley as England take on Italy for the Henri Delaunay trophy.
The Italians, who beat Spain in the semi-final, are looking to win their first major title since capturing gold at the 2006 World Cup.
England, on the other hand, haven't got their hands on a trophy since the 1966 World Cup.
Despite their long rivalry on the international scene, England haven't beaten Italy at a major tournament.
Their last such fixture took place at the 2014 World Cup which saw the Italians win 2-1. Gli Azzuri also prevailed when the two met in the Euro 2012 quarter-final.
Games at the 1990 World Cup and 1980 European Championships also went in favour of the Italians.
Nevertheless, England will be looking to change that when they clash with Roberto Mancini's side this Sunday at Wembley stadium.