Train from Copenhagen to Stockhol

Hi, trains leave from lowest level of terminal. You will not need to go through security to board the train if you are already in Denmark as the station is in the public area of the terminal. If you are arriving by plane into Copenhagen then yes you will need to go through immigration and customs area before going to the train.

Where will you be coming from? Are you flying in and taking the train directly from the airport?

Note that "Köbenhavn H" at SJ means Copenhagen central station if you want to start there.

Here's Copenhagen's airport website https://www.airport-copenhagen.com/train.php. Scroll down to Locations.