Madsen, who has previously admitted dismembering Wall's body and throwing her remains overboard, did not address the court but his lawyer Betina Hald Engmark said he denied the murder charge and maintained his position that the reporter died accidentally on board his submarine.
Wearing a black t-shirt, jeans and black eyeglasses, Madsen appeared calm in court.
The trial, scheduled to last until April 25, is expected to shed more light on the circumstances of Wall's grisly death on board Madsen's Nautilus submarine on August 10, 2017, when she vanished after going for an evening sail with him to interview him for an article.
Her chopped up body parts, weighed down in plastic bags with metal objects, were later recovered from Danish waters off Copenhagen.
More than 100 journalists from around the world were in place to follow the opening day of the trial at the Copenhagen district court, also attended by members of Wall's family.
Prosecutor Jakob Buch-Jepsen started by presenting his opening arguments to the court. He has previously said he will call for a life sentence, which in Denmark averages around 16 years.
An eccentric semi-celebrity in Denmark who built rockets and dreamed of developing private space travel, Madsen faces charges of premeditated murder, desecrating a corpse, and aggravated sexual assault.
Wall was reported missing by her boyfriend after she failed to return home from her trip on the 18-meter vessel on August 10, 2017.
Madsen has changed his version of what happened on board several times. He has insisted her death was an accident but provided no explanation.
An autopsy was unable to determine her cause of death, nor has a motive been established.
But prosecutors have previously said they believe Madsen killed Wall as part of a sexual fantasy.
Madsen has denied any sexual relations with Wall.
He told investigators he panicked after her death, and dismembered her and buried her at sea.