Lundgren received a degree in chemical engineering from the Royal Institute of Technology in the early 1980s and a master's degree in chemical engineering from the University of Sydney in 1982. He holds the rank of 3rd dan black belt in Kyokushin karate and was European champion in 1980–81. While in Sydney, he became a bodyguard for Jamaican singer Grace Jones and began a relationship with her. He received a Fulbright scholarship to MIT and moved to Boston. Jones convinced him to leave the university and move to New York City to be with her and begin acting, where, after a short stint as a model and bouncer at the Manhattan nightclub The Limelight, Lundgren got a small debut role as a KGB henchman in the James Bond film A View to a Kill.