Knudsen was born 22 November 1968 in Copenhagen, the daughter of Ebbe Knudsen, a Photographer, and Susanne Andersen, a school Teacher. From 1987 to 1990 she trained in acting at the Theatre de l'Ombre in Paris despite knowing little French. Upon returning to Denmark, Knudsen played roles for the experimental theatre OVINE 302 as well as at the Betty Nansen and Royal Danish Theatres in Copenhagen. She is unmarried and has a son, born in 2005.