[2] In December 2015, Dalsgaard moved to Belgium to join Pro League club Zulte Waregem on a 2+1⁄2-year contract, with an option for a further year.

[10] In an 18-month spell affected by a hip injury,[11] he made 38 appearances, scored 9 goals and helped the club to win the 2016–17 Belgian Cup.

[11] On 23 May 2017, Dalsgaard moved to England to join Championship club Brentford on a three-year contract for an undisclosed fee (reported to be £1 million),[12] effective 1 July 2017.

[18] In February 2019, head coach Thomas Frank reported that Dalsgaard had stepped up into a leadership role within the squad and later in the month,[19] a lack of available centre backs at the club saw him pressed into service on the right side of a three-man central defence.

[24] Dalsgaard made a career-high 47 appearances and scored two goals during the season, with one coming as a late consolation in the 2–1 2020 Championship play-off final defeat to Fulham.

[30] He ended his four-year spell with 162 appearances, seven goals and as Brentford's then most-capped international player,[31] with 22 caps won while contracted to the club.

[29] On 7 June 2021, Dalsgaard returned to Denmark to sign a three-year contract with Superliga club FC Midtjylland on a free transfer, effective 1 July 2021.

[2][32] Dalsgaard made 35 appearances and scored two goals during the 2022–23 season,[2] in which the club narrowly qualified for the 2023–24 UEFA Europa Conference League via a playoff.

[2][34] On 27 May 2024, it was announced that Dalsgaard had signed a one-year contract with Superliga club AGF on a free transfer, effective 1 July 2024.