He also studied in Germany, France, and the United States, where he took classes at the School of American Ballet.
In 1972, at the age 18, he graduated from the Copenhagen school and was accepted by the Royal Danish Ballet as an apprentice.
He also performed in many modern ballets, creating the role of the Boy in the 1976 revival of Rudi van Dantzig's Monument for a Dead Boy and dancing the part of The Chosen in Glen Tetley's radical interpretation of Igor Stravinsky's Le Sacre du Printemps in 1978.
After suffering a hip injury in 1988, Andersen returned to the stage but eventually decided to retire from New York City Ballet in 1990, giving his final NYCB performance on 29 June 1990 in Balanchine's 1928 Apollo.
In 1987, while Andersen was still with NYCB, the Royal Danish Ballet gave him his first choreographic commission, for which he created 1-2-3—1-2.