Toxoplasma gondii is a zoonotic protozoan parasite capable of infecting possibly all warm-blooded animals including humans, and is one of the most widespread zoonotic pathogens known. Free-ranging wildlife can be valuable sentinels for oocyst contaminated environments, as well as a potential source for human foodborne infection with T. gondii. Here we aimed to determine the sero-prevalence of T. gondii in Danish wild deer populations and examine risk factors associated with increased exposure to the parasite. Blood samples were collected from 428 cervids (87 fallow deer (Dama dama), 272 red deer (Cervus elaphus), 55 roe deer (Capreolus capreolus) and 14 sika deer (Cervus Nippon) from 23 hunting sites in Denmark. The animals were shot during the hunting season 2017/2018, and screened for antibodies against T. gondii using a commercial ELISA kit. One hundred and five (24.5%) cervids were sero-positive. Sero-prevalence was significantly different between species (p < 0.05), with odds of sero-positivity being 4.5 times higher in roe deer than fallow deer, and 3.0 times higher in red deer than in fallow deer. A significant increase in sero-prevalence with age was observed, driven by a significant increase in risk in adult red deer compared to calves (OR: 13.22; 95% CI: 5.96–33.7). The only other significant risk factor associated with wild cervid T. gondii sero-positivity was fencing, with the highest exposure associated with deer from non-fenced hunting areas (OR: 2.21; 95% CI: 1.05–4.99). This study documented a widespread exposure to T. gondii in Danish cervids. Therefore the meat of the wild deer, in particular from roe deer and red deer, should be considered a significant risk of T. gondii infections to humans, if not properly cooked. Further, molecular studies to confirm the presence of infective parasitic stages in the muscles of deer used for consumption is recommended.