As an orchestral cellist he took part in the first performances of Nielsen's 4th and 5th symphonies, and also sat in on many rehearsals of Nielsen. Nielsen's daughters held that Jensen was the conductor whose performances came closest to Nielsen's own.
The cellist, who played in the first performances of Nielsen's 4th and 5th symphonies, also sat in on numerous rehearsals for Nielsen.  Nielsen's daughters felt that Jensen was the conductor whose interpretations most closely resembled those of Nielsen himself.