From 1939 von Schalburg headed the youth branch (NSU) of the National Socialist Workers' Party of Denmark (DNSAP), where he became very popular. That same year he and a group of NSU members called " (the blood boys) were among the Danish volunteers for the Finnish Winter War against the USSR in 1939–1940. He was thus abroad when Denmark was occupied by Nazi Germany on 9 April 1940. Despite his Nazi beliefs he was deeply distressed that Denmark had surrendered almost without fighting.