Madsen was born in Chicago, the son of Elaine (née Melson), an Emmy-winning poet, television producer and playwright, who often works for PBS, and Calvin Madsen, a firefighter. Madsen's mother left a career in corporate business to start a writing career. Madsen's paternal grandparents were Danish and his mother has Irish and Native American ancestry. He has two sisters, Virginia Madsen and Cheri. He began acting at the Steppenwolf Theatre Company in Chicago, where he served as an apprentice under actor John Malkovich. Madsen is a housemate in Celebrity Big Brother 2012 (UK).