When you go to a Christmas market in Copenhagen, be prepared for November and December temperatures. It’s not unbearable, but you should wear a winter coat, gloves, a scarf and maybe a hat. Copenhagen can be very windy and wet, plus the weather can change quickly. Sometimes it feels much colder than the temperature will make you think. Stay warm! Some areas have heating lamps, but it doesn’t change the fact that you will be outdoors. Dress appropriately.
Wear comfortable shoes. Especially if you plan to visit a few Christmas markets in one day, you’ll be walking a lot. Not only will there be a lot of walking, but the terrain will be a lot of cobblestone streets. You’ll want a sturdy shoe and possibly a pair of boots with cushioning.
Go to the Christmas markets with a plan. Many can be reached with Copenhagen public transport and it’s easy to walk between them all. Schedule your time, including where you’ll eat, shop and consider adding an indoor break. This could even be a trip back to your hotel to drop off souvenirs you buy.