The Oresund road-rail bridge already connects Copenhagen with Malmo in southern Sweden.
The EU contribution to the Fehmarn tunnel will come from the Connecting Europe Facility, a scheme for modernising Europe's transport infrastructure.
In a statement on Thursday, the Commission said the new tunnel would be integrated with Denmark's public transport and it was "neither liable to distort competition nor to affect trade between member states".
The tunnel will be built by Denmark's state-owned Femern A/S.