Madsen worked on the UC3 Nautilus, a privately built Danish submarine. It was launched on 3 May 2008 in Copenhagen, Denmark. It was constructed over a three-year period and it cost approximately US$200,000 to build (1.5 million in DKK).
In June 2014, Rocket Madsen Space Lab was established by Peter Madsen. The goal is still the development and construction of a manned spacecraft. From 2016 RML is develuping a nano satelite launch vechile using venture investments.