The 22-year-old former SuperSport United winger struggled for game-time with the Brazilians and spent part of last season on loan with Cypriot side AEL Limassol.
He has since completed a move to the Danish Super Liga after being left out of the Downs' squad for their pre-season tour of Austria.
Speaking after signing his new contract, a delighted Maseko told his new club's website: "I am very proud of this agreement.
"It is a dream come true.
"To me, F.C. Copenhagen are a very special club. They are a club that is highly recognised internationally."
Maseko follows in the footsteps of former Bafana star Sibusiso Zuma, who spent five successful years with the Danish giants.
"[Sibusiso] Zuma has told me so many great things about the club, the fans, and the city and I am looking forward to experiencing it all myself," added Maseko.
"I am truly honored to get this opportunity, and it fills me with hunger and ambition.
"I have come here to make a difference and leave my mark on the club. I have big ambitions for the club and on a personal level. I came here to win.
“I am very excited to get out on the pitch and give everything I've got.”
