[4] Vestervig was the residence of Theodgar, a missionary from Thuringia who had been chaplain to King Olaf II of Norway.

After Olaf's death in 1030, Thøger embarked on a missionary trip to Vestervig, where he built a small church.

After his death in 1067, he was canonized despite opposition from both King Sweyn II and the current Bishop of the diocese, Albrik.

The diocese's first Bishop, Magnus, was drowned in the Elbe river around the year 1060, shortly after he had taken up the position.

Albrik's successor, Bishop Henry, was chaplain to King Canute IV, and accompanied him during his stay in Vendsyssel in 1086.

At about the same time, a monastic foundation was settled there which later became known as Børglum Abbey, although there is little information about the original organization.

Bishop Stygge Krumpen made attempts to slow the adoption of Protestantism, but was ultimately imprisoned in 1536 when the Reformation was formally introduced into Denmark.