The gang's leader is the criminal genius and habitual offender Egon Olsen and his accomplices are Benny and Kjeld (Kjell in Norwegian).

The three men will then have a beer together in the living room of Kjeld's home in Valby, where Egon will inform his friends of his latest plan for making them millionaires.

Egon often serves time in prison with lawyers or executives who provide him with the information he needs, such as duty rosters for the national public record office.

Egon's plans often bring the gang into perilously close contact with white-collar criminals from the Danish business (and political) elite.

Egon Olsen learns about this from a lawyer who is serving prison time, and the gang interferes with the plan to secure the millions for themselves, but as always, Egon – after having succeeded with a genius plan – fails for a variety of reasons, for instance underestimating the power and unscrupulousness of these people, bad luck, interference from Kjeld's wife Yvonne, or other surprising elements.

Egon is usually arrested in the end, for various reasons: scapegoat, bad luck, some irrelevant crime, or even turning himself in as a matter of honor.

In some earlier installments, the clumsy Police Inspector Mortensen is used for slapstick comic relief; he is later replaced by Superintendent Jensen, an older, troubled man who has seen better days.

He is a resigned character who despises the Danish government as he often criticizes Hallandsen crimes going unnoticed and mentions to his assistant, Inspector Holm: "The only thing the police can do when the real big criminals come by is offer them protection!"

In the early installments, profanity and soft-erotica (scantily-clad women) were more freely used than in later ones, where such content was somewhat watered down to suit younger viewers.

The character of Benny's brother, Dynamite Harry, was used much more often in the Norwegian films than in the original Danish series, with six appearances.

Models include the Crown as taxis, Toyota Cressida as police cars, Hiace as security vans and money transports, and so on.

In 2022, a film reboot with a new team of actors was released, where the Olsen Gang make plans to steal the painting The Scream from the Munch Museum.

Semic published five Norwegian comic albums featuring the Olsen Gang, eight original stories, starting with "Olsenbanden raner hurtigruta!"