- Fluent in Danish, Swedish, Norwegian, English, French, German, Italian and Spanish.
- She did extensive research on Ancient Rome for Gladiator (2000) and often acted as an unofficial consultant to help get historical details right.
- Son, Bryce Thadeus Ulrich-Nielsen (b. 21 May 2007). Father is Metallica drummer Lars Ulrich.
- Was in a relationship with drummer Lars Ulrich of Metallica from 2004-2012.
- Is an amateur historian of the Roman Empire, and even owns authentic jewelry from the 1st century CE she's bought antiques dealers. While filming Gladiator, Ridley Scott relied on her to vet certain elements of historical accuracy when the historians being employed by production were unavailable.
- When she turned 18, she traveled to Paris to pursue her acting career. She later also worked and studied in Rome, Milan, South Africa and New York.
- Has a son, Sebastian Sartor (b. 26 November 1989). Father is Italian actor Fabio Sartor.
- Even though she was born in Denmark, her first Danish movie was not until Brothers (2004), directed by Susanne Bier.
- Favorite band is The Clash.
- Born in Elling and raised in Copenhagen.
- She is no relation to fellow Danish actress Brigitte Nielsen.
- She has appeared in one film that has been selected for the National Film Registry by the Library of Congress as being "culturally, historically or aesthetically" significant: Rushmore (1998).
- One of her hobbies is collecting designer sunglasses. She owns around 200 pairs.
- She is the first actress to portray the DC comic book character Hippolyta in a "Wonder Woman" film. Charlene Holt, Cloris Leachman, Carolyn Jones, and Beatrice Straight performed the role for television.
- She was in a relationship with Italian actor Fabio Sartor, when she lived and worked in Italy, from 1988 to 1994.
- Lives in Marin County, California.
- Big fan of Danish directors Lars von Trier and Thomas Vinterberg.
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