Background: Denmark was one of the few countries that experienced an increase in life expectancy in 2020, and one of the few to see a decrease in 2021. Because COVID-19 mortality is associated with socioeconomic status (SES), we hypothesize that certain subgroups of the Danish population experienced changes in life expectancy in 2020 and 2021 that differed from the country overall. We aim to quantify life expectancy in Denmark in 2020 and 2021 by SES and compare this to recent trends in life expectancy (2014–2019). Methods: We used Danish registry data from 2014 to 2021 for all individuals aged 30+. We classified the study population into SES groups using income quartiles and calculated life expectancy at age 30 by year, sex, and SES, and the differences in life expectancy from 2019 to 2020 and 2020 to 2021. We compared these changes to the average 1-year changes from 2014 to 2019 with 95% confidence intervals. Lastly, we decomposed these changes by age and cause of death distinguishing seven causes, including COVID-19, and a residual category. Results: We observed a mortality gradient in life expectancy changes across SES groups in both pandemic years. Among women, those of higher SES experienced a larger increase in life expectancy in 2020 and a smaller decrease in 2021 compared to those of lower SES. Among men, those of higher SES experienced an increase in life expectancy in both 2020 and 2021, while those of lower SES experienced a decrease in 2021. The impact of COVID-19 mortality on changes in life expectancy in 2020 was counterbalanced by improvements in non-COVID-19 mortality, especially driven by cancer and cardiovascular mortality. However, in 2021, non-COVID-19 mortality contributed negatively even for causes as cardiovascular mortality that has generally a positive impact on life expectancy changes, resulting in declines for most SES groups. Conclusions: COVID-19 mortality disproportionally affected those of lower SES and exacerbated existing social inequalities in Denmark. We conclude that in health emergencies, particular attention should be paid to those who are least socially advantaged to avoid widening the already existing mortality gap with those of higher SES. This research contributes to the discussion on social inequalities in mortality in high-income countries.