Both women had been spotted with three men in their hotel in Marrakesh before heading to the Atlas mountains to hike. They were found in Imlil, an unguarded and remote area on the mountain range.
The Moroccan Press Agency reported that the pair had been killed with a "melee weapon."
A video purporting to show the killings is being analyzed by the Danish Security and Intelligence Service, the agency told CNN. The video's authenticity has not been verified.
The Moroccan government has called the killings a "terrorist and criminal act," and Danish Prime Minister Lars Lokke Rasmussen said the killings seemed to be "politically motived and thus a terrorist act."
Moroccans gathered to mourn the tourists' deaths outside the Norwegian and Danish embassies in Rabat, the capital city. Hundreds of people held vigils in memory of the two Scandinavian women, with some holding signs saying "Pardon" or "Sorry" in English.
Denmark's ambassador to Norway, Nikolaj Harris thanked the demonstrators Saturday "with all my heart for your messages of compassion ... after the murder of Louisa. I am very touched."