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Mikkelsen was born in the Østerbro area of Copenhagen, the son of Bente Christiansen and Henning Mikkelsen, a cab driver. He is the brother of actor Lars Mikkelsen. After attending Århus Theatre School, he made his film debut in the movie Pusher. He has starred in popular Danish movies such as Flickering Lights (Danish: Blinkende Lygter), The Green Butchers (Danish: De Grønne Slagtere),