We study the sublinear space continual release model for edge-differentially private (DP) graph algorithms, with a focus on the densest subgraph problem (DSG) in the insertion-only setting. Our main result is the first continual release DSG algorithm that matches the additive error of the best static DP algorithms and the space complexity of the best non-private streaming algorithms, up to constants. The key idea is a refined use of subsampling that simultaneously achieves privacy amplification and sparsification, a connection not previously formalized in graph DP. Via a simple black-box reduction to the static setting, we obtain both pure and approximate-DP algorithms with $O(\log n)$ additive error and $O(n\log n)$ space, improving both accuracy and space complexity over the previous state of the art. Along the way, we introduce graph densification in the graph DP setting, adding edges to trigger earlier subsampling, which removes the extra logarithmic factors in error and space incurred by prior work [ELMZ25]. We believe this simple idea may be of independent interest.