How To Find Military Records?

My g-grandfather, JENS CHRISTOPHERSEN, b September 16, 1830 or 1831 was a cavalry officer in the Danish army (King's Guard).He received two medals from the Danish King for breaking through German lines during the war of Schleswig-Holstein.His father was Christoffer Martensen, a farmer in Denmark.Jens went to USA in May, 1865.He listed birthplace as Waldo., Denmark -- we think maybe Valby, VallO or ValsO.
His wife KIRSTINE LOVISA LAURITZEN (b Feb 2, 1840) was probably from Kiel and she worked for wealthy peoplebefore coming to USA where they married in 1866.Her father was Sauritz-Peter Jensen, step-father Andrew Jensen and mother Kirstine Marie Thomsen.
Would appreciate any information about either one.