The 22-year-old expressed his desire to move on from the Brazilians in a bid to continue his career in Europe, after returning from his exploits at the FIFA 2026 World Cup finals.
Maseko struggled for game-time at Sundowns after signing from SuperSport United in 2023 and spent the final six months of last season on loan to Cypriot club AEL Limassol.
He was subsequently left out of the Downs' squad for their pre-season tour of Austria.
Brazilians boss Miguel Cardoso recently confirmed that Maseko was unwilling to play for the CAF Champions League winners this season and he is reportedly set to sign a three-year deal with Copenhagen.
The player's father Motsamai Maseko told the Sowetan that his son is looking forward to completing the switch.
"Everything is fine; he is relieved now. I spoke to the chairman [Tlhopie Motsepe], and he was happy, and he said, Let the boy go and explore his talent because it was his wish before coming to Sundowns to play in Europe'," he said.
“We are all happy; he is very happy. I was with him, and he is satisfied.”
