In April 1997, he was joined at Udinese by fellow Danish player Martin Jørgensen. The pair developed a close relationship, naming each other nephew Jørgensen and uncle Helveg. For the next two seasons, Udinese mingled with the biggest Serie A clubs, the "Seven Sisters". Helveg played 30 of 34 games as Udinese finished in fifth place of the 1996–97 Serie A season, and qualified for European football for the first time in club history. In the following season, Helveg played four games for Udinese in the European UEFA Cup tournament, and helped the club finish in a meriting third place of the 1997–98 Serie A season. Both Helveg and Martin Jørgensen were included in new national manager Bo Johansson's Danish squad for the 1998 FIFA World Cup. Their connection was evident in their joint celebration following Helveg's goal in Denmark's 4–1 win over Nigeria in the World Cup round of 16.