Although he has appeared in over one hundred films, he is perhaps best known for his performances as "Budd" in Kill Bill and "Mr. Blonde" in Reservoir Dogs.

Madsen was born in Chicago, Illinois to Cal Madsen (a firefighter of Danish descent) and Elaine (an award-winning producer, writer and poet of Irish and Native American descent); he is the brother of actress Virginia Madsen.

Madsen's youth was characterized by tragic events: at age nine his parents separated and he frequently had to change schools. He began to steal and was sent to jail a few times.

Madsen's acting career started at the Steppenwolf Theatre Company in Chicago, where he served as an apprentice actor under John Malkovich.

Soon after his apprenticeship, he was cast in a small role in the movie WarGames (1983). He moved to Los Angeles and appeared in a series of minor film roles, including playing a deranged killer in Kill Me Again (1989) and Susan Sarandon's tough but touching boyfriend "Jimmy" in Thelma & Louise (1991).

He played a knife-wielding, sadistic ex-con and jewel thief, "Mr. Blonde", in the film Reservoir Dogs. The film gained attention among film critics and fans, as did Madsen's performance and the brutality of his character. Subsequently, Madsen was cast in a variety of supporting roles in major studio films, including Free Willy, Mulholland Falls, Species, and the critically-acclaimed Donnie Brasco. Quentin Tarantino wanted Madsen to play Vincent Vega in Pulp Fiction, a role that ultimately went to John Travolta (the character is the brother of Vic Vega, Madsen's character in Reservoir Dogs). However, Madsen was already committed to Wyatt Earp (1994) and couldn't appear in the film.

Since his peak in the mid 1990s, Madsen has appeared in a large number of lower-budget films that have been released directly to video or television. Some notable exceptions include his major role in Quentin Tarantino's Kill Bill and appearances in the James Bond film Die Another Day and the film version of Frank Miller's Sin City. He also appeared in Scary Movie 4 in 2006 parodying a character from War of the Worlds.

Madsen has also appeared in a few television series, including the short-lived series Vengeance Unlimited and most recently as "Don Everest" in the poker-themed ESPN series Tilt. He appeared in Michael Jackson's 2001 music video, "You Rock My World" and has provided voice work for several video games, including Grand Theft Auto III, True Crime: Streets of L.A., and Driver 3. He also provided voice work for the movie of The Chronicles of Narnia: The Lion, The Witch and the Wardrobe, though uncredited, as Maugrim the wolf, captain of the White Queen's police.

Madsen's first marriage was to Georganne LaPiere, the half sister of Cher. He remarried, to Jeannine Bisignano, with whom he had a son, Christian. Since 1996, he has been married to De Anna Morgan. Madsen has five children, all boys. He has been noted to say that he appears in movies of lower quality in order to support his family [1]. He has said that the five films he has acted in that he is proudest of are Reservoir Dogs, Donnie Brasco, Species, Free Willy, and Kill Bill.