Malmo remains one of the more delightfully inconvenient corners of Scandinavia to reach in style, and that's precisely what makes routing it well such a satisfying puzzle. There is no nonstop option, so business class from Phoenix to Malmo requires a connection through a major European hub, with Frankfurt via Lufthansa, Amsterdam via KLM, or Copenhagen via SAS being the three realistic gateways — and yes, Copenhagen is actually the smarter arrival point, since the Oresund train connection from Copenhagen Airport puts you in central Malmo in about 25 minutes, often faster than a second flight into MMX itself. Total journey time from Phoenix runs upward of 14-15 hours including connections, so your choice of hub matters as much as your choice of airline.
Of the three carriers serving this corridor, SAS is the one I'd steer most travelers toward for the final leg, given their long-haul business class product features fully flat seats with direct aisle access on their A330/A350 fleet, and their Nordic sensibility — quiet, efficient, unpretentious — suits the destination culture perfectly. Lufthansa's Frankfurt routing is worth considering if you can snag one of their newer Allegris-configured 787s or A350s, where the business class suites with closing doors rival anything in the sky, though Allegris rollout is still uneven across the fleet, so it pays to check aircraft type before booking. KLM's Amsterdam connection offers a reliable, comfortable World Business Class product on their 787-9 or A330-200, and Schiphol remains one of Europe's easier hubs for a tight connection thanks to its compact pier layout.
My insider tip: book the Phoenix–Frankfurt or Phoenix–Amsterdam long-haul segment for lie-flat comfort, then treat the shorter Scandinavian leg as a low-stakes hop — SAS and KLM regional business on these short sectors is often just a blocked middle seat, so don't overweight that leg in your decision-making. Late spring through early autumn, particularly May through September, brings both better weather in Skane and noticeably softer award and fare availability across all three carriers, so this is the window worth watching. Given how much itinerary pricing fluctuates hub to hub on this route, setting up automated fare alerts is the most reliable way to catch a premium-cabin deal before it disappears.