Bjerg takes Dauphine yellow jersey with time trial win
Team UAE Emirates' Bjerg, 24, beat compatriot Jonas Vingegaard in second place and Frenchman Remi Cavanga in third after a 31.1km ride from Cours to Belmont-de-la-Loire.
Bjerg takes the yellow jersey from Jumbo-Visma's Frenchman Christophe Laporte, who had led the race since Sunday's opening stage.
"I've worked so hard for this first pro victory," an emotional Bjerg said.
"I'm just so relieved that I finally got it now," he added.
Laporte's team-mate Vingegaard moves up to second, 12 seconds behind, in the overall standings less a month before starting the defence of his Tour de France title.
"Of course I would have liked to have won the stage and take the yellow jersey but Mikkel did a really good time trial," Vingegaard said.
"I should have started a bit slower because I paid for it at the end. I hope to take the yellow jersey in the coming days," he added.
Australian Fred Wright is 34 seconds behind in third place with 2019 Tour winner Egan Bernal more than two minutes and 30 seconds lower down the standings.
Thursday's fifth stage is a 191.5km ride northwards from Cormoranche-sur-Saone to Salins-les-Bains.