Scandinavia is a dialect continuum, so I normally talk about it as one language. Most people don’t, but that’s fine too. Lets look at the names “Norwegian”, “Swedish”, and “Danish”. They have two main meanings, descriptively:
1. Any and all Old Norse-derived varieties spoken within the political borders of the respective Scandinavian countries.
2. The main Old Norse-derived variety used in the respective Scandinavian countries (roughly Oslo, Stockholm, and Copenhagen speech).

Basically, they are terms of convenience. If you’re a learner, you’ll probably use it more in the second meaning, so I’ll do that here, but don’t forget that Scandinavian is more than these three (four if you count Nynorsk) standards. All the standard varieties are really similar to each other, and one common way of saying it is that Norwegian and Swedish sound similar (Oslo being close to Stockholm geographically), whereas Norwegian and Danish look similar in writing (Bokmål being based on the Danish written tradition).

There’s a lot of truth to this, and with Oslo being a place where all kinds of Norwegians and other Scandinavians alike can be heard, learning Bokmål (the most popular written language in Norway) with Oslo pronunciation is a good way to access Scandinavia from the middle. Norwegians are generally better at understanding their neighbours than the other way around, which may have something to do with being in-between. I personally think Oslo-accented Bokmål gives the best coverage overall.