Copenhagen was initially released as a members-only download from the NPG Music Club on 29 October 2002, only four days after it was recorded. This initially-released version includes a horn line interpolation from Miles Davis's track Jean-Pierre. As an "experiment", the song was released by an e-mailed link to European members only, as the track was recorded during the European leg of the One Nite Alone... Tour (during an NPG Music Club members-only soundcheck on 25 October 2002, where a version of Empty Room was also recorded). Four days later, a slightly shorter version (with a fade-in at the beginning) replaced the original file, without the interpolation of Jean-Pierre (likely due to licensing reasons).
On 3 January 2003, the shorter version was made available as a download via a website link emailed to some NPG Music Club members. (On the same day, Japanese members variously received an email with a download link to one of the soundcheck recordings, Nagoya, Osaka or Tokyo. A similar download link to the Empty Room soundcheck recording was emailed to other members the next day).
In 2004, this shorter version was included as the first track on Prince's third live album C-Note (a compilation of the five soundcheck tracks).
No studio version of the track is known to exist.