For five seasons, he was first choice in the right side of the Udinese starting line-up, as a wingback charging up and down the sideline. He played 30 of 38 games, as Udinese finished second in the 1994–95 Serie B season, and won promotion back into the Serie A after a single season in Serie B. Under guidance of coach Alberto Zaccheroni, Udinese steadily became a tough opponent for the other clubs in Serie A, and finished in tenth place of the 1995–96 Serie A season. Helveg scored his first national team goal in June 1996, before representing Denmark in his first major international tournament at the 1996 European Championship (Euro 1996) later that month. He played all three Denmark matches in the preliminary group stage of the Euro 1996, which ended unsuccessfully in an early exit from the tournament.