In his active career, Olsen played in the central defense position. He won six Danish championships with Brøndby IF and the 1992 Turkish Cup with Trabzonspor. Olsen played 84 matches and scored four goals for the Denmark from 1986 to 1996, and was named 1988 Danish "Player of the Year". He was team captain of the Danish national team in a record 69 matches, and captained the Denmark team that won the 1992 European Championship.