Jensen/Nelson

Hi!  Hoping someone here can help me.  I have been trying to get information on my great-grandparents for were born in Denmark and came to America in 1865.  I have born of their exact birth dates and that they were born in Visburg but still cannot find anything from before they came to America.  He even served in the King of Denmark's army.  I know that a lot of immigrants changed their names and that Jensen and Nelson are common names in Denmark so that makes it difficult but would think with the birth dates and location I'd have some luck.  Any ideas?