Madsen was caught 430 yards (400 meters) away from Herstedvester prison shortly after 10 a.m. CET (4 a.m. ET) as he tried to flee on Tuesday, according to the Western Copenhagen Police force.
Danish news networks showed dramatic footage of Madsen as he was detained, surrounded by police cars. In the footage, two snipers could be seen lying flat on the ground with their rifles pointed at Madsen as he sat down on the ground, with his back against a hedge.
He was wearing a "suspicious-looking belt" which will now be "investigated in detail," Western Copenhagen Police said in a statement later on Tuesday to CNN. "The area was roped off, and the bomb disposal experts of the army were called for to assess the suspicious belt," the statement added.
Madsen is serving a life sentence for the murder and mutilation of Wall, who was killed aboard his submarine in 2017.
Wall, a promising 30-year-old journalist, was last seen boarding Madsen's self-built submarine in Copenhagen on August 10, 2017, when she had planned to interview him for an upcoming article.
She disappeared and her torso washed up on an island near Copenhagen on August 21. Her head and legs were found weeks later.
Madsen was found guilty on all three charges he faced: premeditated murder, the indecent handling of a corpse and "sexual relations other than intercourse of a particularly dangerous nature," evidenced by stab wounds inside and outside Wall's genital area.
He consistently denied charges of murder and sexual assault, claiming Wall died by accident from carbon dioxide poisoning, although he admitted to dismembering her body and tossing it into the sea in a state of panic.