Nicolaj Madsen

On 31 August 2018, Madsen left Vejle Boldklub and returned to HB Køge in October 2018 on a contract for the rest of the year. On 2 September 2019 it was confirmed, that Madsen had joined German club SpVgg Unterhaching and would play on loan at TSV 1860 Rosenheim for the 2019–20 season. Madsen moved to Icelandic 1. deild club Vestri on 12 February 2021, signing alongside compatriot Casper Gandrup. He returned to HB Køge on a short loan in January 2022, but returned to Vestri in March 2022. On 10 March 2023, Vestri confirmed that Madsen had left the club due to personal issues. He later spoke publicly about the period surrounding his departure, describing how he had experienced anxiety and suicidal thoughts, and recalling the nights as particularly difficult: "The thoughts were racing. I was lonely, and I felt life was meaningless. I had anxiety about the dark, and I could be afraid of my own breathing." He credited support from Spillerforeningen and a psychologist with helping him through the period. Madsen has not played a professional match since leaving Vestri.