He began and ended his career with Brøndby IF, winning the Danish Superliga three times and finishing as its joint top scorer in 2001–02.

Madsen was loaned to German team VfL Wolfsburg in January 2003, playing in the top-flight Bundesliga championship.

[2] Madsen made his debut for the Denmark national team on 6 October 2001, in a 2002 FIFA World Cup qualifier at home to Iceland.

Morten Olsen named him for the 23-man squad at the final tournament in South Korea and Japan, where he was unused in a run to the last 16.

[4] He made his one tournament appearance in the 3–0 quarter-final loss to the Czech Republic, replacing Claus Jensen for the last 19 minutes at the Estádio do Dragão.

[5] Capped 13 times, Madsen scored his only international goals on 18 August 2004 with a hat-trick in a 5–1 friendly win away to Poland in Poznań.