After he graduated from Kauslunde Agricultural School, the bright young man started a criminal career, resulting in several convictions for fraud and forgery.
Arriving in New York City, Madsen enlisted in the U.S. Army on January 21, 1876, and served fifteen years in the Fifth Cavalry.
Over 300 outlaws were either apprehended or killed by Madsen, Thomas and Tilghman, thus leading to their nickname, The Three Guardsmen.
After the Spanish–American War, Madsen returned to Indian Territory and served as deputy U.S. marshal.
He eventually settled in Guthrie, Oklahoma, and at the outset of World War I, he tried to enlist in the U.S. Army but was rejected due to his age.