Madsen was hired as a soloist but was soon promoted to principal dancer, and created numerous roles for Cranko.

In 1999, he returned to the stage as a member of Nederlands Dans Theater's NDT 3, where he was also a teacher and rehearsal director.

He joined the Pantomime Theatre in Tivoli Gardens, while also attending private ballet classes with Birger Bartholin and Edite Frandsen.

In 1959, he joined Elsa-Marianne von Rosen's Scandinavian Ballet, which toured in Denmark and Sweden, as a soloist.

[2]: 149 In 1961, when Madsen was 19, he moved to Germany and joined the Stuttgart Ballet, where choreographer John Cranko had recently became the company's artistic director.

[1][4] Dance critic Horst Koegler wrote that Madsen "charmed his audiences with his mercurial temperament and high spirits, as he was a "born bouncer" and an irrepressible comedian," but "also had an introspective side.

For Kenneth MacMillan, he created the role of Messenger of Death in Song of the Earth (1965),[1] in The Sphinx (1968) and Requiem (1976).

[5] In 1999, the 57-year-old Madsen began performing on stage again as a member of NDT 3, Nederlands Dans Theater's troupe consisting of dancers over age 40.

The play also featured retired Stuttgart dancers Marianne Kruuse, Julia Krämer and Thomas Lempertz, and choreography by Gauthier, Neumeier, Mauro Bigonzetti, Marco Goecke, and Amos Ben-Tal.

[3][8] In 2018, celebrating his 75th birthday, Madsen appeared in a special programme by Gauthier Dance, performing in Don Q, Greyhounds, Bigonzetti's Cantata and 7557.