I was born in Denmark but live today in Australia. I found the family in Helsingør, Denmark in the 1860 Census. Their address was Sankt Annagade 97, Helsingør, Denmark. You can look the address up on Google Maps. The family is:
Anders Jensen, 34 yrs old, Carpenter, born in Abberup (?)
Juliette Olsen, 24 yrs old, His Wife, born Aalsgaard, Tikøb, Frederiksborg
Anton Julius Jensen, 3 yrs old, Their child, born Helsingør
Gyrithe Marie Jensen, 1 yr old, Their child, born Helsingør
Not sure where Abberup is, but there is a town called Ebberup on the island of Fun in Denmark. That might be Anders Jensens birthplace.
Did you get a copy of the birth certificates?