The police have told Danish media they believe Ms. Wall's body had been deliberately decapitated and dismembered with tools.
So troubled by the Kim Wall story. I imagine that a feature on an inventor and his submarine wouldn't have seemed high risk.— Samira Shackle (@samirashackle) 22 August 2017
They also said a piece of metal had been attached to the body.
Madsen, 46, originally said he dropped her off near the Halvandet restaurant on Refshale Island in Copenhagen harbor on the evening of August 10.
But after the 30-year-old's body was found on the shore by a cyclist and a DNA match confirmed it was that of Ms. Wall, Madsen said she died in an accident on board the sub on August 11, and he decided to bury her at sea.
The Nautilus, which itself then sank, was found on August 13. Her blood has also been found inside the submarine.
He has been arrested on suspicion of negligent manslaughter and is being held in custody.
The Nautilus, the largest privately-owned submarine in the world, started taking on water after going out on a trial journey. Madsen did not have a license to carry passengers on the craft.
Peter Madsen's lawyer, Betina Hald Engmark, said her client has not admitted any wrongdoing.
"My client has not confessed to anything, my client still pleads not guilty to the charges against him," she said.
We are deeply saddened to learn that Kim Wall is reported to have died. She was beloved by our community. Our thoughts are with her family. pic.twitter.com/YZrGum8jHD— Columbia Journalism (@columbiajourn) 22 August 2017
The Danish and Swedish divers had been search Koge Bay, near Copenhagen, and the Oresund Strait between the two countries for eight days in a bid to find Ms. Wall's body.
Several women reporters have tweeted about the dangers faced by female journalists, especially freelancers such as Ms. Wall, who was working on an article about the submarine and its eccentric inventor for a magazine.
Ms. Wall alternated her life between New York and Beijing, but had worked all over the world for a variety of magazines and newspapers.
Her friends said she had already signed a lease for a studio apartment in Beijing and was planning on moving to China with her boyfriend.
A graduate of both New York's Columbia University and the London School of Economics and Political Science, Ms. Wall worked as a freelance journalist for many renowned news sources.
She had reported from all over the world, including from North Korea, Sri Lanka and the Marshall Islands.