[2] Madsen started his career with Køge Boldklub but soon moved to Brøndby IF, where he went on to make 186 appearances for the club in which he scored 21 goals between 1988 and 1994.
[1] Later, he moved to Herfølge Boldklub, where he won his fifth championship in 2000 with his third club as an active player.
[4] After a hugely successful playing career in Denmark, he moved abroad for the first time in 2000, signing with Greek Super League club Skoda Xanthi.
He left after five months, describing his tenure there as "a personal crisis", and added in an interview with Tipsbladet: "The club had no idea who I was.
[4] Madsen later signed with Scottish club Livingston, but said that he had suffered personally from his experience in Greece, which meant that he lacked motivation.