Knudsen made her screen debut in the 1997 improvisational comedy Let's Get Lost, for which she received both the Robert and Bodil awards for Best Actress.

Knudsen achieved international recognition for her leading role as fictional Danish Prime Minister Birgitte Nyborg in the Danish TV series Borgen,[5] and for her role as Theresa Cullen in the HBO science fiction-Western television series Westworld.

[3] Film critic Kim Skotte of Politiken wrote that Knudsen had hit a new tone with a "special ability to capture the modern woman's uncertainty and strength".

[13] Following her appearance in the 1998 mystery Motello, Knudsen played the lead character in Susanne Bier's 1999 romantic comedy Den Eneste Ene.

[15] Knudsen's portrayal of Mona, an uptight accountant who tries to stave off the romantic infatuation of a bank robber while being held hostage, earned her a Bodil Award nomination for Best Actress.

[16] In 2020 she starred in the BBC drama Roadkill as the mistress of a British Tory politician played by Hugh Laurie.