Kjeldsen turned professional in 1995. Kjeldsen's success on the second tier Challenge Tour in 1997, which included his first victory as a professional in the Volvo Finnish Open, earned him membership for the main European Tour for 1998. He won his first European Tour title at the 2003 Diageo Championship at Gleneagles.
In May 2015, Kjeldsen ended a six-year drought and won his fourth European Tour title at the Dubai Duty Free Irish Open. On a very windy final day, Kjeldsen held a two stroke lead but shot a 76 five over par round to fall into a three-man playoff with Eddie Pepperell and Bernd Wiesberger. On the first extra hole, Kjeldsen found the par five 18th green in two and after Pepperell and Wiesberger could not get up and down for their birdies, he two putted from 30 feet for the victory. Kjeldsen maintained his 100% record of winning when holding the 54 hole lead, which now stands at 4-for-4.[2] The next week he finished second at the Nordea Masters. Later he finished second at the Made in Denmark and British Masters tournaments.
Kjeldsen represented Denmark in the Eisenhower Trophy in 1994 and at the World Cup in 1998, 1999, 2003, 2004, 2009, and 2016, winning the 2016 event alongside Thorbjørn Olesen.