Madsen is the son of Sally, a doctor, and Ross, growing up in Mona Vale, New South Wales.
As a child he attended Mona Vale Primary School and, later, Manly Selective Campus.
[5][6][7] He subsequently appeared in Sport For Jove Theatre Company's production of One Flew Over the Cuckoo's Nest at the Seymour Centre, Sydney.
[8] Madsen was cast in the world premiere of Muriel's Wedding at Sydney Theatre Company, originating the role of swimmer Alexander Shkuratov.
[11] Later that year, he portrayed Alan in Darlinghurst Theatre Company's production of Torch Song Trilogy at The Eternity Playhouse.