- Although she was educated in Paris and speaks French, she wasn't cast in a French film production until 20 years after she completed her education. However, she was cast after the producers saw her work in the Danish TV series Borgen (2010).
- In 2014, she was knighted as Chevalier de L'Ordre des Arts et des Lettres, which recognizes significant contributions to the arts, literature, or the propagation of these fields.
- Has worked with Tom Hanks twice, within two years; A Hologram for the King (2016) and Inferno (2016).
- For her performance in Courted (2015), the Danish Knudsen became one of the fifth non-French winner of the Best Supporting Actress César. The other 4 are, in chronological order: the Italian Virna Lisi in Queen Margot (1994), the Belgian Cécile de France in Russian Dolls (2005), the Spanish Carmen Maura in The Women on the 6th Floor (2010) and the American Kristen Stewart in Clouds of Sils Maria (2014).
- She has a son named Louis Ray Knudsen, born in 2004.
- Was listed among Hollywood Reporter's "25 Most Powerful Women in Global TV" (2014), for her work in Borgen (2010).
- Was originally hesitant to star in The Duke of Burgundy (2014), but was convinced to star in the film, after she saw the director's former film Berberian Sound Studio (2012).
- 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.
- In 2011 Sidse won an award in the "Outstanding Actress in a Drama Series" category at the Monte Carlo TV Festival for her portrayal of Birgitte Nyborg in the series Borgen (2010).
- Education: Theatre de L'Ombre i Paris fra 1987 - 1990
- Daughter of Ebbe Knudsen, a photographer, and wife Susanne Andersen, a school teacher.
- Won a Danish film award called Robert, for her role in The One and Only (1999) (2000)
- Has two brothers named Lasse Knudsen and Niclas Knudsen (b. 1972), a musician.
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