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He already fought under Marlborough in 1691 during the War of the Grand Alliance. In 1701, he became brigade-commander and in 1705 general-major. At the Battle of Blenheim he commanded the 4th Jydske Horse Regiment. At the Battle of Oudenaarde in 1708, he commanded the cavalry in the vanguard under Cadogan and played an important role in the early stages of the battle.
The collaboration between the older and more experienced Rantzau under the younger, less experienced Cadogan is an example of the congruence in Marlborough's multinational army. In 1709, Denmark reentered the Great Northern War against Sweden and Rantzau returned to Denmark to participate as lieutenant-general in the invasion of Scania under Christian Detlev Reventlow. This led to the Battle of Helsingborg (1710). Just prior to the battle, Reventlow was taken ill and had to yield command to Jørgen Rantzau. The battle was a great defeat and Rantzau was blamed. He died a few years later in Lübeck.