When the German armed forces occupied Denmark on 9 April 1940, during World War II, Borge was playing a concert in Sweden and managed to escape to Finland. He traveled to America on the United States Army transport , the last neutral ship to make it out of Petsamo, Finland, and arrived 28 August 1940, with only $20 (about $ today), with $3 going to the customs fee. Disguised as a sailor, Borge returned to Denmark once during the occupation to visit his dying mother.