James (6.5) let his frustration boil over after an impressive display on the right.
Maguire (3) was sent off in first-half for two clumsy challenges on Dolberg.
Coady (7) led the line well and forced his way into Gareth Southgate's plans.
England fell to their first home defeat in two years as Harry Maguire's sending off was compounded by Denmark centurion Christian Eriksen scoring a controversially-awarded penalty.
Three days on from impressively coming back to beat Belgium to go top of their Nations League group, Gareth Southgate's side stumbled to a first defeat on home soil since September 2018.
Eriksen's penalty shortly after Maguire received two bookings in 31 wretched minutes were the key moments at an empty Wembley, where Denmark held on for a 1-0 win against visibly-frustrated England.
Sportsmail's SAMI MOKBEL rated the players.
Has been unconvincing for Everton and has now taken that worrying form onto the international stage. 5.5
Unfortunate to be caught in the middle of his goalkeeper’s rash decision-making. Comfortable otherwise. 6.5
Made some important interventions on a busy night. Will surely be a fixture in Southgate’s plans moving forward. 7
An unmitigated disaster. A shadow of his usual self, the Manchester United defender looks troubled. Red card. 3
Spoiled an impressive full debut by getting sent off after the final whistle but looks viable alternative to Trent Alexander-Arnold on the right. 6.5
Overrun by Denmark’s midfield during the early stages but somehow improved when England were reduced to 10 men. Booked. 6
Appears to be an automatic choice for Southgate. Unspectacular but kept things ticking over in England’s midfield. 6
Took to international football like a duck to water on his full debut until he was unluckily sacrificed following Maguire’s red card. 6.5
The hero against Belgium on Sunday and was one of England’s better players again. Has improved from last season. 7
Clearly not fully fit. Missed the win over Belgium with ‘muscle fatigue’ and didn’t look comfortable. A penny for Jose Mourinho’s thoughts? 5.5
Some bright moments coupled with some sloppy ones. His performances encapsulated England’s night. 6
Subs: Mings 5.5 (Maitland-Niles 36); Sancho 5.5 (Mount 73) ; Calvert-Lewin 5.5 (Rashford 73); Henderson (booked) (Rice 76)
Subs not used: Pope, J Henderson, Saka, Alexander-Arnold, Gomez, Ward-Prowse, Grealish, Ings, D Henderson.
Manager: Gareth Southgate
A lack of creativity and a lack of discipline. A miserable night at the office for the England boss. 5.5
Schmeichel 8, Wass 7, Kjaer 7.5, Christensen 6 (Jorgensen 46), Skov 6 (Pedersen 46); Eriksen 8.5, Hojbjerg 7 (Jensen 88), Delaney 7; Poulsen 6.5, Dolberg 6 (Sisto 37, 7), Braithwaite 6.5 (Vestergaard 74). Subs: Billing, Vestergaard, Dalsgaard, Gytkjaer, Lossl, Wind, Hansen. Booking: Christensen, Hojbjerg
Kasper Hjulmand - 7.5
Referee: Jesus Gil Manzano (SPA) - Had no choice but to send Maguire off but made some strange decisions afterwards. 5