The son of a teacher, Jensen grew up in the rural area Thy and neighbouring Vendsyssel in North Jutland and, after a visit to the Aalborg Cathedral, began a study of Evangelic theology.
During World War II, he began to be involved with the Danish resistance movement of the Nazi German occupation of Denmark and was, after his arrest, sent to a concentration camp.
He first made literary his debut in 1948 by posting contributions to the magazine Heretica before publishing his first novel, Dommen (The Judgment), in 1949, which was followed by Dæmningen (The Dam) in 1952.
After this great success, which at the same time meant his breakthrough as a writer, he wrote Sagen (The Case) (1971), a continuation of Perleporten (The Pearly Gate), in which the persons from the previous novel were involved in land development trade during the boom period of the 1960s.
A further sequel, Kridtstregen (The Line of Chalk, 1976), dealt with the story of two brothers and their German-side volunteership on the Eastern Front during World War II and as a deserter between 1941 and 1945.