Alongside his frequent collaborations with Quentin Tarantino—Reservoir Dogs (1992), Kill Bill: Volume 2 (2004), The Hateful Eight (2015), and Once Upon a Time in Hollywood (2019)—he is known for his appearances in films, such as The Natural (1984), The Doors (1991), Thelma & Louise (1991), Free Willy (1993), Species (1995), Donnie Brasco (1997), Die Another Day (2002), Sin City (2005), and Scary Movie 4 (2006).

He has played voice roles in various video games, including Grand Theft Auto III (2001), Narc (2005), the Dishonored series (2012–2017), and Crime Boss: Rockay City (2023).

His father, Calvin Christian Madsen, was a World War II Navy veteran and a firefighter with the Chicago Fire Department.

[2] His parents divorced in the 1960s, and his mother left the financial world to pursue a career in the arts, encouraged by film critic Roger Ebert.

[4] Madsen began working at the Steppenwolf Theatre Company in Chicago, where he served as an apprentice under John Malkovich and appeared in a production of Of Mice and Men.

He appeared in John Dahl’s thriller Kill Me Again as criminal Vince Miller opposite Val Kilmer and Joanne Whalley.

[6] In Quentin Tarantino's directorial debut film Reservoir Dogs, Madsen played "Mr. Blonde", a cruel criminal.

In February 2014, he played Las Vegas casino mogul Ted Binion in Josh Evans' film Death in the Desert.

[13] The screenplay was written by John Steppling, based on the book Death in the Desert by crime writer Cathy Scott.

[14] In August 2014, he starred in the Kill Bill-themed music video for the song "Black Widow" by Iggy Azalea featuring Rita Ora.

[16] He executive produced in Vilan Trub's crime drama film The Dirty Kind, which is loosely inspired by Anthony Weiner.

[27] The charity included celebrities Malcolm Forbes, Peter Fonda, Larry Hagman, Billy Idol and Bruce Springsteen, among others.