First elected to the Faroese parliament in 1980 and consecutively thereafter, Kallsberg served as Fisheries Minister from 1983 to 1985 and for 5 months in Jógvan Sundstein's first coalition government in 1989, and as Economics and Finance Minister from 1996 to 1998 in a coalition led by Edmund Joensen (Union Party).

His first administration aimed for economic and legal independence of the Faroe Islands and started a process of assuming various governmental sectors from the Danish government.

Likewise, Denmark set up a plan to grant full sovereignty to the Faroe Islands.

In 2002 the coalition went through parliamentary elections that resulted in the entry of the Center Party into the government, which was the second cabinet of Anfinn Kallsberg.

In December 2003, Kallsberg took over the ministries previously served by members of the Republican Party and issued a new election that took place in January 2004.