In March 1618, Gjedde commanded an expedition to India and Ceylon to establish a Danish colony that could be used as a base for the China and East Indies trade of the Danish East India Company. His fleet consisted of the Danish naval ships "Elefanten" and "David", the yacht "Øresund", and the merchant ships "Kiøbenhavn" and "Christian". He established Fort Dansborg at Tranquebar, which would remain a Danish colony for 200 years. Gjedde returned in March 1622 and was appointed lord of Brunla len (now in Akershus). In 1637, he received Tønsberg len (now Vestfold).