In August 2015, Frederiksen was named manager of the Denmark under-21 team, signing a two-year contract. In his first game in charge, they lost 1–2 to Germany in a friendly at Stadion Lohmühle in Lübeck, Schleswig-Holstein. Under Frederiksen, Denmark qualified for the UEFA European Under-21 Championship in 2017 and 2019, where they were knocked out in the group stages, finishing third and second, respectively.