The 19-year-old Bafana Bafana international made the switch on transfer deadline day.
He is yet to feature for Sporting since joining the Portuguese giants in August 2016 from Premiership champions Bidvest Wits.
Jordan made history last year when he played against Tanzania in the Cosafa Castle Cup quarter-finals, becoming the first son of a former Bafana international to represent the senior national team since readmission to the global game in 1992.
Liam’s father is the late ex-SuperSport United, Manning Rangers and Moroka Swallows forward Keryn Jordan, who sadly passed away from cancer in October 2013 at the age of 37.
Managed by Henrik Lehm, HB Køge play in the Danish first division and they finished sixth last season. It's a good chance for Jordan to get game-time at senior level in Europe for the rest of the season.
Jordan was not the only South African to make a move in Europe on deadline day. Striker Lebo Mothiba returned to Lille after spending some time on loan to second-tier outfit Valenciennes.