The spying took place between 2012 – 2014.
France has been extremely vocal in its opposition to the report with French Europe Minister Clement Beaune stating it was “extremely serious” if the findings were proven.
He added: “We need to see if our partners in the EU, the Danes, have committed errors in their cooperation with American services.
“Between allies, there must be trust, a minimal cooperation.”
During a press conference, Mr Macron delivered a statement condemning the report.
He said: “This is not acceptable between allies and is even less acceptable between European allies and partners.
“I am attached to the bonds of trust that unite Europeans and Americans.
The broadcaster spoke with nine anonymous sources who said they had access to classified documents proving the story true.
It is not the first time the NSA has been embroiled in a spying clash in Europe.
In 2013, whistleblower Edward Snowden revealed the agency has been tapping Ms Merkel’s phone and thousands of others following the 9/11 attacks.
Mr Snowden also revealed shortly after Denmark spying news was made public that US President Joe Biden was “deeply involved in this scandal the first time around”.
Mr Biden was vice-president when the spying was first carried out.
Norwegian Prime Minister Erna Solberg also condemned the spying from the US.
She said: “It’s unacceptable if countries which have close allied co-operation feel the need to spy on one another.”