Mr Lochhead said he hopes his two-day trip will help strengthen Scotland's links with Nordic nations.
Sweden and Denmark are "great examples of smaller European nations which have thrived as independent countries" which could "point the way to the successful future Scotland can enjoy with independence", he said.
The minister visits the Swedish capital, Stockholm, on Wednesday and the Danish capital, Copenhagen, the following day.
"Scotland has much in common with our Nordic neighbours and we are keen to strengthen Scotland's ties with Sweden and Denmark for our mutual benefit," he said.
Exports to Sweden and Denmark in 2011 amount to an estimated £775 million, he said.
"During my visit I will explore further economic opportunities for Scotland in Scandinavia. For example, we have identified this region as a very good target market for premium Scottish food and drink products such as Scotch beef and Scotch lamb. I am also interested in finding out more about Denmark's hugely successful organic food sector."
Mr Lochhead highlighted Scotland's "world-leading climate change credentials" and said he is keen to share experience and expertise in this field, while also learning more about schemes such as Sweden's deposit refund recycling scheme where deposits are charged on drink cans and bottles.
He is "particularly looking forward" to meeting representatives from the rural movement responsible for organising the biennial Swedish Rural Parliament.
"The Scottish Government is committed to the establishment of a rural parliament in Scotland, and this is an excellent opportunity to meet directly with the organisers and to learn more from their experience.
"I will also meet with Sweden's summer house movement to learn more about this long-standing Swedish tradition as we try to progress hutting in Scotland. I know that the concept of having recreational huts in Scotland has very strong support, and this issue was included in our recent planning policy consultation."