The 23-year-old Nigerian midfielder has joined the club for an undisclosed fee on a five-year deal after receiving a work permit and passing a medical.
Onyeka arrived in the UK on Monday and Brentford say he “will now undergo a period of quarantine before joining with the squad for training”.
“We think he’s a strong addition to the squad,” said Bees boss Thomas Frank.
“We are looking forward to working with him. He is a very dynamic player.
“Frank plays as an eight in our system, he is very good at getting from box to box and will be valuable to us when we don’t have the ball.
“He has come from the Danish league and was one of the best midfield players in that league, we think he has the potential to develop further.”
Brentford ended their 74-year exile from the top flight by beating Swansea 2-0 in the Championship play-off final in May.
The Bees are owned by Matthew Benham, who is also majority shareholder of FC Midtjylland.
Onyeka has made one appearance for his country but could be selected for Nigeria for the Africa Cup of Nations, which starts in January 2022.