One of his teachers was Johan Daniel Herholdt—who with his Copenhagen University Library started a trend with the use of red bricks for landmark buildings in Danish architecture—and he greatly influenced Jensen-Klint's understanding of materials and knowledge of early Danish architectural traditions.

In May 1878, Jensen-Klint was admitted to the Royal Danish Academy of Fine Arts School of Painting where he took all the classes but never graduated.

Following completion of the Gym House in Frederiksberg, he was admitted into the Architects' Association of Denmark in spite of his lack of formal training.

[3] As a painter, Jensen-Klint first concentrated on landscape painting until Carl Bloch replaced Jørgen Toed as professor at the Academy.

After he gave up his artistic career, he still painted occasionally but also started to show an interest in sculptural work.