I’m Not Sure Where Should I Go To Change My Name.

Hello, thanks you for reading this post.
I’m a transgender person and I want to change my legal name, the sex that was assigned to me at birth, and if it’s possible I also want to change my surnames to totally new surnames (I don’t have any more ties to my family and my surname brings me bad memories, but I know changing them can be really complicated).
I was born and registered in the state of New Jersey, where I lived for the first two years of my life. Then I moved to Brazil and lived there for 17 years, I have Brazilian citizenship because my dad is Brazilian. Last year I moved to Denmark and I’m going to study here later this year and I’m also planning on living here for the rest of my life, I’m living here using my Italian citizenship that I got because my mother’s family comes from Italy.
So basically I was born and registered in USA, but also have Brazilian and Italian citizenship, and currently I’m living in Denmark.
I don’t know where I should go to change my information, because each country have a different process and this confuses me a lot. I would like to get information about who I should talk to and if I would be able to change my surnames.
If the surnames I’m planning to get matters, the first is a Brazilian word “Fontes” it means the same as fountain but in plural and the second is Pazivoto, it’s a made up word based on phonemes that I like and searching for it on google just leads you to my social media accounts.
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