Fitness issues forced Agger to retire from football at the age of 31 and he has been pursuing his UEFA A License since.
Agger starred for Liverpool between 2006 and 2015, making 232 appearances for the Merseyside-based club and winning one Community Shield and one League Cup.
The 36-year-old will be joined in the coaching set up by former Everton defender Lars Jacobsen to try and take Koge into the Danish top flight next season.
Speaking upon his unveiling at the Danish club's ground, Agger said: 'I have been preparing for this day for a very long time. I feel like I stopped playing a few years too soon.
'Those years I have spent thinking about which way I would go in relation to football, and that is why I stand here today.'
Jacobsen added: 'We knew we were going to throw ourselves into something together. We have been waiting for the right project, and we believe that this is it.'
'Daniel and I have talked for several years about us doing something together.'
'Now we have to see if our ideas can bear. We have met many talented coaches, and we will bring those experiences into play in HB Koge.'
Agger won 75 caps for the Denmark national team.
