He trained with an English club again, this time Portsmouth, but finally moved back to Denmark to play for AGF Aarhus in August 2003.
Initially a substitute for the three years younger Steffen Rasmussen, Pedersen made his AGF debut in April 2004, and was subsequently kept as starting goalkeeper.
He linked up with English side Nottingham Forest during their pre-season tour of Denmark in preparation for the 2005–06 season and whilst on trial won himself a two-year contract at the City Ground.
The departure of manager Gary Megson, Hoult returning to West Brom and further injury to Paul Gerrard presented Pedersen with another chance.
The appointment of Colin Calderwood as the new manager of Nottingham Forest in June 2006 and the arrival of Southampton goalkeeper Paul Smith limited Rune to just a handful of appearances during the 2006–07 season.
On 29 August 2009 he was loaned to Superliga club Odense Boldklub for the rest of the year, but served as a back-up to Roy Carroll before returning to Lyngby in January 2010.