The 29-year-old singer took to the stage wearing a midriff-baring brown blouse, loose-fitting black trousers, elbow-length gloves and thigh-high boots as she sang a collection of her hits including 'Call My Name' and 'Under the Sun' during the outdoor concert.
The star gave an energetic performance which included plenty of crotch-grabbing, but was forced to cut short some of the choreography due to the torrential downpour throughout her set.
Taking to Twitter, Cole wrote: "Thank you Denmark for an amazing welcome ! Ps.. You take the record #wettestshowofmycareer lol."
She later added: "Ps.. Apologies for any missed choreography ! It was that or sing it on my ass hahaha.."
Holloway is reportedly set to join Cole on her upcoming UK tour which kicks off in Belfast on October 3.