Coming off the bench after an hour, both players helped their country into the Quarter-Finals at the expense of a Welsh side who gave everything but couldn't match the quality in their opponent's game.
After 25 minutes of even football, Wales arguably the better side, Kasper Dolberg scored the opener from the edge of the area. Gareth Bale also fired wide of the target in the first half. It was Dolberg's second that crushed any hope of a comeback, netting after an error from Neco Williams just after the restart.
Jensen added an assist late on, finding Joakim Maehle with a perfect pass before the fullback rifled a shot beyond Danny Ward. Substitute Harry Wilson was then shown a straight red card for a petulant foul on Maehle before Martin Braithwaite sealed the win, forced to wait for VAR to confirm the goal as onside.
In the Quarter-Finals they will meet one of the Netherlands or the Czech Republic in Baku, Azerbaijan, next Saturday. The only other Brentford player still at Euro 2020 is Pontus Jansson, his Sweden side face Ukraine in the Last 16 on Tuesday evening.