Immediately after his lieutenant's examination, Jessen joined an expedition to the Caribbean with the small Lærken, where he participated in an engagement against two British privateers.

In 1789 he was a tutor at the Naval Cadet Academy and commander of a gunboat in Admiral Conrad von Schindel's squadron in the Baltic Sea.

[Note 1] In 1799 and 1800 Jessen was second in command of the Naval Academy, and later served in a cutter in Norwegian waters protecting the country's neutrality.

On 3 March 1801 he fought against HMS Arab and a privateer, Experiment, which engaged his ships – before Jessen knew anything about the outbreak of war – near the island of St Thomas.

Part of his remit was to act for the government of the Danish West Indies on all questions of naval service and maritime defence.

In December 1807 Jessen returned to Øresund with 200 of his crew on the sick list, and with a ship that badly needed maintenance as it had been so long at sea.

However, in March 1808 Jessen received orders to proceed to the Great Belt to chase away the British warships there, as the Danish government wanted to transfer Spanish troops in French service unhindered from Funen to Zealand Meanwhile, in Copenhagen it was noted that a large British force had arrived off Hornbæk (north Zealand) so Admiral Bille sent Jessen written instructions to attempt to return to Øresund by sailing south around Zealand – but the message arrived too late.

At 2 pm Prins Christian Frederick observed two British ships-of-the-line approaching from the east, and Jessen realised that a decisive battle was at hand.

For the rest of the war Jessen commanded the Trekroner Fort (at the northern approach to Copenhagen harbour), together with a division of gunboats.