Background: This study examined the associations between distance from residence to the nearest alcohol outlet with alcohol consumption as well as with alcohol-related harm. Methods: Data on alcohol consumption, alcohol-related harm and sociodemographics were obtained from the 2011 Danish Drug and Alcohol Survey (n = 5133) with respondents aged 15–79 years. The information on distances from residence to the nearest alcohol outlets was obtained from Statistics Denmark. Multiple logistic and linear regressions were used to examine the association between distances to outlets and alcohol consumption whereas alcohol-related harm was analysed using negative binomial regression. Results: Among women it was found that those living closer to alcohol outlets were more likely to report alcohol-related harm (p < 0.05). This was not true for men. No association was found between distances to outlets and alcohol consumption (volume of drinking and risky single occasion drinking). Conclusions: This study found some support for an association between closer distances between place of residence and alcohol outlets and alcohol-related harm for women. Future studies in the Nordic region should continue to examine the association between physical alcohol availability (nearest distance to an outlet and outlet densities) and alcohol consumption as well as alcohol-related problems using different outlet types.