Before I met Mr Mads Mikkelsen, I had a vision of what he might be like. The actor, 53, would be reading a Scandinavian crime novel, I thought, something noir and twisty that takes place in a winter climate where the whiteness of the snow clashes with the darkness of the murderer’s heart. Maybe he would be smoking a cigarette, or at least he would smell of fine tobacco and citrus aftershave. I thought he would certainly be wearing all black.

This is the part where I am supposed to disappoint you, to tell you that the real Mr Mikkelsen is nothing like the craggy, handsome rogue who is routinely voted Sexiest Man In Denmark. I am supposed to tell you that he is shy, or bumbling, or less icily intense than he comes across on screen. But I cannot. When I meet Mr Mikkelsen, inside an airy photography studio at Chelsea Piers in New York, he is reading a crime novel, and he does smell of nicotine. In fact, he postponed our interview for five minutes so he could sneak outside for a cigarette. While he was gone, he left behind the book he was reading, a thick, mass-market potboiler with a frozen landscape on the cover, the kind of Nordic pulp that people scoop up in airports and leave behind in their hotel rooms.

When he returns from his smoking break, dressed in head-to-toe black (black skinny jeans, black ankle boots, sleek black sweater with a zip at the neck), I ask him if he is reading the mystery to prepare for a film role. “No, no, nothing like that,” he says. “I try to do it just to keep up the language. I basically just read everything I can in English, or at least the easy stuff. In the plane, in the car. I know what’s going to happen in the end, but I’m still curious who did it.”

Mr Mikkelsen makes it sound like he is not proficient in English. That’s not the case. He is a beautiful speaker, eloquent and droll. He pauses before he speaks and then rushes out his sentences, as if he is trying to catch up with his thoughts. He often punctuates his sentences with a mischievous grin, which reveals a hint of his crooked bicuspids. He likes to study novels, he says, mostly for the slang. He spends the bulk of his time in Copenhagen, the cosmopolitan centre of his native Denmark, where he lives with his wife, the choreographer Ms Hanne Jacobsen, and where he raised his two children, Viola and Carl, now 26 and 21. He splits his work fairly evenly between making films in Denmark and the US, but he finds that he needs to brush up on English colloquialisms every now and then. He still cannot master an American accent, or really any accent other than his own, which is husky and thick. “I’ve never played a full-on American or a full-on Brit,” he says. “I always play the foreigner, the exciting guy with the funny name.”

It’s true. In the US, Mr Mikkelsen, with his sinewy frame and flop of silver hair, has often been typecast as a chilly European villain or leathered, wizened sage. He is a consummate character actor, who skulks through blockbusters, lending them his rugged cheekbones and a vague air of worldly grit. In Casino Royale, he played Le Chiffre, an international terrorist and sworn James Bond enemy who has a rare condition that causes him to bleed from his eyes. In Doctor Strange, he played Kaecilius, a mystical anti-hero who tries to become immortal. For two years, he played the titular erudite cannibal in Hannibal, the NBC drama about Hannibal Lecter. And in Rogue One: A Star Wars Story, he played a softer, yet still eccentric, role: the elegant scientist Galen Erso, who secretly programmes the Death Star to self-destruct and dies while working for the Resistance.

In his native Denmark, Mr Mikkelsen’s body of work is far more avant-garde. He was born in Copenhagen in 1965 and grew up idolising the films of Mr Martin Scorsese (The King Of Comedy is his favourite). He started working as an actor in his twenties, during a time when an ambitious group of young Danish filmmakers were determined to create a bold, new national cinematic style. “It’s hard to beat the wave it had in the 1990s and earlier 2000s,” he says of the Danish film industry. “There was Thomas Vinterberg, and Susanne Bier, who made it big time now over here [in the US] with Bird Box, and Nicolas Winding Refn. We were the same generation and while we were working all these different jobs as directors, actors, writers and camera people, we had the same mission. For the first time in Danish history, we didn’t have an 82-year-old director telling us how it is to be 19 years old. We were doing it ourselves.”

Mr Mikkelsen’s breakout role was in Pusher (1996), the first part of a trilogy from a then unknown 26-year-old director, Mr Winding Refn, who went on to win the Best Director award at the Cannes Film Festival in 2011 for the slick, disturbing neo-noir Drive. In Pusher, Mr Mikkelsen played Tonny, the feckless, often comical sidekick of a drug dealer, and it made him a national star. He then became a mainstay of nouveau Danish art-house cinema and landed more mainstream roles on Danish television. He led the cast of Rejseholdet, a popular crime procedural that was essentially Denmark’s version of Law & Order.

Even now, Mr Mikkelsen insists he never planned on a career as an actor. He started out as a competitive gymnast and then switched in his teenage years to studying ballet, although he never told his friends about his dance aspirations. “I was totally working-class Copenhagen,” he says. “It was like the Billy Elliot story. I wouldn’t say I was a dancer for the first couple of years. My parents thought it was great because it was better than hanging out on street corners. Eventually, I had to tell my friends. I will say they got super curious when they figured out it was so many girls in there and not a lot of boys.”

Mr Mikkelsen worked as a professional dancer for almost a decade before deciding to study acting. “I felt I was more in love with the dramatic aspect of dancing than the aesthetic,” he says. “I got small theatrical parts here and there, and it felt like I should just give it a shot, so I applied for drama school. I truly dreamt of being part of a wave that would change Danish films, because we had nothing like Raging Bull or Taxi Driver.”

When Hollywood came calling, in 2004 – the producer Mr Jerry Bruckheimer cast him in his medieval epic King Arthur (“It had horses, swords, you know, big-budget stuff”) – Mr Mikkelsen saw an opportunity to expand his range. “I wanted to do crazy stuff,” he says. “I could do my own kitchen-sink drama back home, and then something crazy big over here and then it’s been like that ever since. Ping-ponging back and forth.”

There is no better example of Mr Mikkelsen’s ability to bounce between countries and roles than his output this month, which includes two wildly different films that both have frosty names. In Polar, a glossy Netflix thriller from the Swedish director Mr Jonas Åkerlund, Mr Mikkelsen plays a grizzled assassin who zooms around the globe to an electronic music bass beat, decapitating his enemies at will. Arctic is a quieter, but perhaps even more hardcore, film, a wrenching story of survival somewhere near the North Pole. Mr Mikkelsen, who appears in every frame of the film, plays a man of unspecified origin whose helicopter crash-lands in the Arctic Circle, killing the pilot. For 97 minutes, Mr Mikkelsen is in snowy hell, trekking across the frozen tundra trying to survive, his beard turning to icicles.

Mr Mikkelsen insisted on doing his own stunts. The film was originally supposed to be shot in 32 days, but, due to “weather craziness”, it had to be completed in half the time, which meant gruelling, arduous days in frigid temperatures for the cast and crew. “I think the first week of shooting I lost at least 15lb,” he says. “The further we got in the process, the harder it became. Let me put it this way. We knew there were certain places that we wanted a certain amount of emotional impact on the character who’s been so stoic and trying to survive, but in the end, there was nothing left in me. You know when you’re on that verge of physically giving up? Your emotions are right on your skin. It was like that.”

Mr Mikkelsen says that dancing gave him discipline and a high tolerance for pain, but by the end of Arctic, his muscles were giving out. He injured himself attempting a jump. “It’s just a bruise, but it’s not healing right,” he says. “We just tend to forget we don’t heal the same way as when we’re 23.”

When he is not attempting to leap off ice floes or nursing sprains, Mr Mikkelsen spends his free time in Copenhagen playing tennis and basketball and cycling along the canals. He admits that while Danes are not thought of as the most chic Scandinavians (that honour belongs to the Swedes), he is conscious of what he wears. He likes simplicity, clean lines, classic denim, a good tuxedo. “The thing about men right now is they don’t want to admit that they’re vain,” he says. “So they’re very vain in being casual. I know people who can spend hours deciding how to be most casual.”

Even when Mr Mikkelsen works a casual look, he prefers a kind of stark minimalism. His current favourite pieces are his two Belstaff tracksuits (he has one in red and one in blue) that he calls his “Bruce Lee suits”.

With two films out at the same time, Mr Mikkelsen seems to be everywhere this spring, a fact that amuses him. He says he never thought he’d be having another breakout moment, at 53 years of age, but he is “going with the flow”.

“I know it’s such a cheap thing to say,” he says. “But age is just a number and as long as I can do what I like to do, I’m super happy. There are definitely some cool parts out there, no matter what age you are, just waiting for you to have the balls and grab them.”