He signed on a free transfer for defending Danish champions Brøndby IF in the summer 2002, as one of the first signings of new manager Michael Laudrup. In his first year at Brøndby, he most famously suffered a gashed eyebrow in the November 2002 game against Farum BK, but played on wearing a bloody head bandage and scored four goals in Brøndby's 7–1 victory. He was appointed vice-team captain behind Per Nielsen, and Wieghorst won his second Danish Cup title in 2003. In May 2004, Wieghorst suffered a knee injury in the "New Firm" local derby against arch rivals F.C. Copenhagen. He returned to the starting line-up late in the 2004–05 season in April 2005, and was a part of the Brøndby team that won The Double of both league championship and cup trophy. In May 2005, less than a month after his rehabilitation, he announced his retirement at the season end on 26 June 2005.
After his return to the Celtic team, Wieghorst became a mainstay in the Danish national team from October 1997. He was selected to represent Denmark at the 1998 FIFA World Cup, and played three games at the tournament. Most remarkably, he came on as a substitute in the 82nd minute of the 1–1 draw with South Africa, only to be sent off three minutes later. In Denmark's ultimate qualification game for the 2000 European Championship, he scored in the 3–2 victory against Italy which secured Denmark's qualification for the main tournament. Having been brought on as a substitute in the 52nd minute, he scored to level the game at 2–2 in the 57th minute, before he was sent-off for his second yellow card in the 80th minute. This made him the only Danish national team player to have been sent-off more than once. In October 1999, Wieghorst's national team career came to a halt again, due to his illness.
Wieghorst re-entered the Danish national team in August 2002, while playing for Brøndby, as he played the 1–0 friendly match win against Scotland. In February 2003, he was selected for the Denmark League XI national football team, consisting of the best Danish players from the Danish Superliga, to play a series of unofficial friendly matches against various Asian national teams. In the game against Iran, an Iranian player mistook a whistle from the crowd as being the referee's half-time signal, and picked the ball up with his hands in the penalty area. The referee gave Denmark a penalty kick, but following consultation with national team coach Morten Olsen, Wieghorst missed the penalty on purpose as a token of fair play, and Denmark lost 1–0. The incident made CNN's "Play of the Day" of 2 February 2003, and Wieghorst received an Olympic Committee fair play award. He was selected the 2003 Danish Player of the Year. He played his last national team game in April 2004, a 1–0 friendly match win against Scotland.
On 7 February 2013, it was reported that he will join Swansea City as an assistant to club manager Michael Laudrup. On the 4th of February 2014, Swansea fired him alongside Michael Laudrup, just three days short of his year anniversary in the job.
On May 30, 2014, he was appointed as the new head coach of AGF. He signed a 3-year contract.