Madsen played NCAA basketball with Stanford's division one team, and he ranked among the school's all-time leaders in four categories. In addition, he helped the team go to the NCAA tournament each year he spent there, with a Final Four appearance in 1998. He was a two-time All-American and a two-time All-Pac-10.
Madsen found a job at a UPS office in Los Angeles after graduating in 2000. Over there, he was seen by Lakers coach Phil Jackson, who had gone that morning to the UPS building to have a package sent off. Jackson remembered Madsen from his college basketball days, and immediately convinced Lakers management to sign him. Madsen then joined the Lakers and he contributed from the bench to the Lakers' three world championships in a row from 2000 to 2002. As a member of the team, he earned three commemorative world championship rings.
Madsen signed with the Timberwolves as a free agent before the start of the 2003 NBA season.