Albertsen was born in Copenhagen, Denmark. Her first job, at the age of 10, was delivering newspapers in her hometown of Copenhagen.She later worked as a dishwasher at a restaurant and butcher shop, and she sold chocolate at a candy store.As a young girl, Albertsen struggled with obesity but eventually managed to lose the weight, after which time she says she was "strongly encouraged to enter the modeling world."
At the age of 17, Albertsen was the winner of the 1993 Elite Model Look World Final, the annual fashion modeling contest held by Elite Model Management that attracts more than 350,000 participants every year from 800 cities in 70 countries across 5 continents. Within weeks, she moved to Manhattan to embark upon her newly catapulted supermodel career.
Albertsen self-identifies as a Christian in the Protestant tradition and professes a respect for all religions. She advocates a healthy, well-balanced lifestyle, one that combines fitness, beauty, strength and style. She is an active sportswoman. Among other things, she cooks, paints, rock climbs, water skis, runs marathons, plays tennis and golf, and does yoga. She resides in the Manhattan borough of New York City.