Based on the historical analysis, this article attempts to give a detailed and comprehensive answer to the question about the reasons that forced Denmark to abandon the policy of neutrality after the World War II and become the member of the North Atlantic Alliance. The object of this research is the foreign policy of Denmark in the XV – XX centuries, while the subject is the balancing strategy of Denmark in the conditions of transition from the status of regional power to the status of second-order power, and ultimately, to the status of a small European state that seeks to ensure the own neutrality. Special attention is given to the analysis of strategic foreign policy decisions of Denmark in the conditions of major regional and European conflicts, such as the Dano-Swedish War of the XVII century, Great Northern War (1700-1721), Napoleonic Wars (1799-1815), First Schleswig War (1848-1850) and Second Schleswig War (1864), World War I (1914-1918) and World War II (1939-1945). The conclusion is made that reaching the actual neutral status for Denmark throughout its foreign policy history was virtually impossible due to the fact that conventional neutrality acquired either a pro-German or pro-British orientation, and in reality represented an attempt to find a complex balance between the interests of the great powers. The need for balancing overlapped the historical vulnerability of Northern European region to external influence. Since the great powers using bilateral diplomacy did allow close rapprochement countries between Nordic countries, the common defense alliance projects both prior to the World War II and after the World War II failed to implement A crucial point in evolution of the foreign policy strategy of Danish politicians became the negative experience of the World War II, when strict conformity to the policy of neutrality did not prevent the German occupation of the country.