Tivoli Food Hall, Denmark - Polarsteps
I choose 1 food hall to include here but I've actually tried 3 different ones in Copenhagen city. There's Tivoli Food Hall, Torvehallerne Food Hall & Bridge Street Market. Given that Bridge Street Market is entirely outdoors, I would guess it's likely only opened in the warmer months.
All 3 of these food halls had excellent choices, so just pick the one most convenient for you after your long day up the coast of Denmark.
Long Weekend in Copenhagen
Tivoli Food Hall