Madsen started his career at
BK Avarta in the secondary
Danish 1st Division league, where he won the 1994
Danish 1st Division Revelation of the Year award. He was introduced to the top-flight
Danish Superliga championship, when he was brought to newly
promoted club
Akademisk Boldklub (AB) in June 1996. Under manager
Christian Andersen, AB finished fifth in the
1997–98 Superliga season, with Madsen on the left flank, combining well with teammate
Peter Knudsen in central midfield. In June 1998, Madsen and Peter Knudsen were both brought to
Italian club
AS Bari in a combined
transfer deal worth
DKK 15 million. When they were forced to compete for the same spot in the Bari starting line-up, Peter Knudsen quickly returned to AB, while Madsen stayed three years at Bari. He started out well for the club, but was eventually benched by manager
Eugenio Fascetti. Bari was
relegated after the 2001 season, and as his Bari contract ran out in June 2001, Madsen left the club. He moved to
German club
VfL Wolfsburg on a
free transfer. In the opening weeks of the
German Bundesliga championship season, Madsen suffered a back injury, and struggled the remaining season to re-enter the starting line-up under manager
Wolfgang Wolf without success. Following three league games for Wolfsburg, Madsen moved back to Denmark to play for Superliga club
Farum BK under his former AB manager Christian Andersen in September 2002. Following one season at Farum, Madsen did not get his contract prolonged, and decided to take a job in the sales department of
SAV Danmark in July 2003.
Later career After a month away from football, he started playing for amateur club
HIK in the
Danish 2nd Division in August 2003. He helped the club win promotion for the 1st Division, which saw the club turn professional, before he moved to league rivals
Lyngby BK in November 2005. Due to an injured knee, he was forced to end his career in February 2007. Shortly after the news of his career stop, it was announced that he was to be associated with the newly founded
Birkerød Sports College as a football coach, beginning in the summer of 2007. However, he chose to be new head coach at
HIK. He only kept this job for a few months, because in June 2007 he was announced new sporting director at
BK Fremad Amager. When his new club fired
Jakob Friis-Hansen in May 2008 he became caretaker manager. After the season, he became manager of
FC Amager. He had the job at Amager until March 2009, when the club went bankrupt. In June 2009 he was named the new manager of
Vanløse IF. On 6 October 2011, he announced that he would not renew his contract with Vanløse, when it ended on 31 December 2011. In January 2012 he became assistant manager of
Brønshøj Boldklub. He succeeded
Erik Rasmussen as manager of
Greve Fodbold on 1 January 2013. In January 2018 he became new manager of
Akademisk Boldklub. He left in May 2019 to become manager of AB's local rivals
Brønshøj Boldklub. Following a poor start to the
2020-21-season he left Brønshøj in October 2020. In January 2021, Madsen was hired as assistant coach at
Skovshoved IF. On 2 August 2022, he was appointed manager of the club. ==References==