Born in Copenhagen, he was the youngest of four children and the only boy. Son of the successful sexologist and Psychiatrist Henry Olsen, he spent his childhood with his family in doctors' official residences at several mental hospitals across Denmark. In his late teens, he played in a couple of pop groups as lead Guitarist. He graduated from high school in Rødovre (1970), and studied Medicine, sociology (passed History of Modern Politics) and film making (exam.art.) until 1978.