Fifth seed Sindhu, who had made early exits in China and Korea, got back her bearing as she overcame former World Junior Champion Gregoria 22-20 21-18 in 38 minutes to keep her 5-0 record intact against the Indonesian.
After claiming the World title in August, Sindhu endured surprise first and second round exits at the China Open and Korea Open last month, respectively.
The Denmark Open, a top BWF Super 750 tournament, will be played at Odense from October 15 to 20.
In an exciting but energy-sapping 52-minute final, Saina lost 13-21 21-13 6-21 to the superior Chinese Taipei rival.
Saina Nehwal got the better of Gregoria Mariska Tunjunng of Indonesia 21-11 21-12 in a lop-sided affair which lasted 49 minutes.
In the women's doubles, Ashwini Ponnappa and N Sikki Reddy's spirited campaign came to an end.
World number six Srikanth bounced back to beat the world number 14 from China 18-21, 21-17, 21-16 in the second round clash played on Thursday night.
This was Nehwal's second career win over Yamaguchi, who has won six times in the head-to-head encounters between the two.
Srikanth has lost three of his four matches against Dan but the Chinese great is not the force he once was.
Third seed Sindhu lost 17-21 21-16 18-21 to Zhang in a hard-fought opening encounter that lasted 56 minutes.
Srikanth got the better of Lee Hyun II of South Korea 21 -10 21-5 to clinch the title at the USD 750,000 Super Series event on Sunday.
Srikanth, who won the 2014 China Open Super Series Premier and 2015 India Open Super Series, said he would look to finish the year on a high.
World No 8 Srikanth didn't give any chances to the more experienced Lee, who looked a pale shadow of the man, who had beaten World No. 2 Son Wan Ho in the semi-finals on Saturday.
India's champion shuttler Kidambi Srikanth beats South Korea's Lee Hyun II 21-10 21-5 in the final of Denmark Open on Sunday to win his third Super Series title of the year.
Indian shuttler Kidambi Srikanth will take on Korea’s Lee Hyun Il in the men's singles final in the Denmark Open Super Series on Sunday.
A 2-2 head-to-head record in career meetings meant nothing as Srikanth towered over Wong, showing better control and anticipation in the 39-minute semifinal duel.
Exhausted after being forced to play a late night match on Thursday due to a power failure at the stadium, Saina Nehwal lost 10-21, 13-21 to Akane Yamaguchi of Japan.
US Open champion HS Prannoy will next face Korea's top seed Son Wan Ho, Srikanth will meet current world champion Viktor Axelsen, while Saina will square off against Japans Akane Yamaguchi.
Former world number one Saina knocked Olympic champion Carolina Marin out of Denmark Open on Wednesday in the first round to avenge her Japan Open second-round loss to the Spaniard.
Title-contender Sindhu failed to break the rhythm of World No 10 Chen Yufei to go down fighting 17-21 21-23 in a 43-minute opening round match on Wednesday.
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