Olesen's first foray into politics beyond her speaking ventures came in June 1920 when she became a delegate to the Democratic National Convention. Then, in 1922, she was elected by Minnesota's Democratic convention to be the party's nominee for the United States Senate with over 47 percent of the vote, becoming the first woman to be nominated for the position by a major party in any state. Her competitors for the general election included Henrik Shipstead, nominated by the Farmer-Labor party and Frank B. Kellogg, the incumbent Republican. Despite extensive campaigning efforts, Shipstead won the election with Kellogg coming in second and Olesen in third.