Christian Madsen was born at Copenhagen, Denmark, on 25th February, 1851. He joined the Danish Army and served in the Danish-Prussian and Franco-Prussian wars and in the Foreign Legion in Algeria.
In 1876 Madsen emigrated to the United States. He joined the U.S. Cavalry and was stationed at Fort Reno, Oklahoma before moving to Fort Russell, Wyoming. He remained in the army for 14 years and fought in various Indian campaigns.
Madsen left the army in 1891 and found work as a deputy United States marshal in Oklahoma. During this period Madsen, Heck Thomas and Bill Tilghman became known as the Three Guardsmen and were largely responsible for wiping out organized crime in Oklahoma. This included the hunting down Bill Doolin and his gang. He also took part in the killing of Red Waightman at Arapaho and Oliver Yountis at Orlando.
Christian Madsen died at Guthrie, Oklahoma on 9th January, 1944.