The state's prosecuting team has begun criminal proceedings against the suspects, who are 24 and 19 years old, The Copenhagen Post reported.
The older brother allegedly spent several months at a terrorist training camp in Somalia in late 2011 and early 2012, the indictment says. The younger brother allegedly helped finance his brother's stay. Both are accused of financially supporting Al-Shabaab, the Post reported.
The brothers' lawyer, Finn Sogaard, said the prosecution doesn't have evidence to prove the claims.
The brothers, in custody since May 2012, deny the allegations, the Post reported.