After Norway was invaded and occupied by Nazi Germany Holst soon, despite his bad health, started working with the main Norwegian resistance organisation, Milorg. He was recruited in 1941 by his brother-in-law, the officer Lars Heyerdahl-Larsen and was soon given important tasks and gained a reputation as the most action-oriented man in the secretariat of the central leadership (Sentralledelsen). From 1942 Holst worked as a courier, established Milorg's system for hiding refugees (apartments where resistance fighters went into hiding before being "exported" to neutral Sweden) and had close contact with such central resistance figures as Ole Borge and Jens Christian Hauge. Kai Holst was, according to professor Tore Pryser, instrumental in teaching Hauge the various skills needed: "In many ways it was actually Holst who trained the inexperienced Hauge."