Madsen was born in Chicago, Illinois. His mother, Elaine, was a filmmaker and author. His father, Calvin, was a firefighter. His parents divorced in the 1960s, and his mother left a career in Finance to pursue a career in the arts, encouraged by film critic Roger Ebert. His siblings are Cheryl Madsen, an Entrepreneur, and Future Academy Award nominee Virginia Madsen. Madsen's paternal grandparents were Danish, while his mother is of English, German, Irish, Native American and Scottish ancestry.