With unforgettable turns – Troels Hartmann in The Killing, Russian president Viktor Petrov in House of Cards – Lars Mikkelsen has become one of Denmark’s most successful exports. He has even played super-villain Charles Augustus Magnussen in Sherlock. But on a stopover in London between shoots, the laidback 54-year-old startlingly reveals that his latest TV role has truly transformed him, prompting a major life-change that still bemuses many around him.

The decision that rocked the Mikkelsen clan occurred while he was shooting the show for which he recently won best actor at the International Emmys. He plays Johannes Krogh, a pastor who feels an intense personal connection with God, in Ride Upon the Storm. The ecclesiastical TV drama – written by Adam Price, creator of the Danish political epic Borgen – started in the UK this week after acclaim in Denmark, France and the US.

Mikkelsen was raised by communist atheist parents, but says that at first he felt no obstacle to playing a man of God. You don’t have to be a Scottish murderer to act Macbeth, as Mikkelsen has done on the Copenhagen stage. “At the start,” he says, “my own background didn’t matter in terms of making a priest seem real.” But the longer he inhabited the part, the more impact it had. “Acting is a messy thing: it’s partly you, partly what’s in the script, and partly what you can pick up from your research. You’re left with a bloody mess in the end. You tend to want to make sense of it after.”

I don't know if [my family and friends] have accepted it yet. Actually, I'm not sure I have

But how could he make sense of playing a priest whose faith is so fervent that at one point, like a desperate lover, he climbs a ladder to kiss a statue of crucified Christ? Late in the filming of the second season, Mikkelsen went to see a pastor himself, and asked to be baptised into the National Church of Denmark. It was rather as if, while paying Petrov in House of Cards, he had gone to the Kremlin and started running Russia.

The ceremony was low-key – head splashed three times with holy water, rather than total immersion – but it was such a change that it unnerved his family and friends. “I don’t know if they’ve accepted it yet,” he says. “Actually, I’m not sure I have. I can’t explain it. I think I’d been fighting it for a while. As I get older, I feel it’s important to be true to myself. And this felt true to myself.”

‘He was a real piece of work’ … Lars Mikkelsen as Johannes in the ‘pacy, racy’ Ride Upon the Storm. Photograph: GSN/Channel 4

His character has a line about churches being “built for the big moments in life”, and he came to the same conclusion. “I’m getting older, experiencing people dying, and to give that meaning, I found churches and ministers to be the right place.” He also wanted to feel part of a community: “For me it was the church. But if you don’t like that, join a fucking political party, join a trade union. It’s important to me that we join rather than disconnect.”

For those viewers who may be resistant to religion, Johannes is a very human type of priest, prone to heavy drinking and adultery. Conflict with his sons – one also a priest, the other a troubled drifter – make Ride Upon the Storm a pacy, racy family drama as well as an exploration of faith.

“Johannes is a real piece of work,” says Mikkelsen. “One of the concerns that often comes up in drama is how to make the character more likable, so we can relate to them. Actually, why can’t we sometimes just let the characters fucking cross a line, so the audience dislikes the guy and he has to retain our trust? Shakespeare does it all the time, but we’re now so afraid of losing the audience. Real people can be horrible. My family is not sympathetic to me the whole time.” He has two children with the Danish actress Anette Støvelbæk. “Sometimes I need to gain their trust again.”

My brother Mads was originally a street-dancer and I was a juggler. The 80s was a freer time

The pressure to follow parental example is another key theme of Ride Upon the Storm, though such an idea never seems to have occurred to Mikkelsen, whose parents were a nurse and bank worker. His younger brother, Mads, is also an internationally successful actor, having starred in movies including Pusher, Casino Royale and King Arthur. Was there some greasepaint DNA further back? “Nothing! It’s crazy, I know. We tend to attribute it to a rebellion. Mads was a street-dancer and I was a juggler originally. The 80s was a good time to try whatever appealed to you. The young generation now are pushed into further education, which I think is a bad thing. We were freer.”

Lars says he and his brother are not competitive, and have only been up for the same role once. “It’s not been common, because we are very different-looking. But we were once up for a part Mads got but then couldn’t do, so I did it. It was called The Spider, and turned out to be my breakthrough role.” He soon attracted the attention of UK and US casting directors, leading to Sherlock and House of Cards, after the 2008 crime drama Forbrydelsen – AKA The Killing – led the surprise Scandinavian invasion of worldwide television.

Lars had a small role in Borgen, which prompted Price to give him the lead in Ride Upon the Storm. “Adam wanted to do something more political than Borgen, and found that in religion. Nowadays, Norwegian church elections get nasty. By telling the truth about what the church is supposed to believe in, my character gets into trouble. Is that the democracy we want?”

‘In Denmark, we go out and have beers after’ … Mikkelsen with Sofie Gråbøl in The Killing. Photograph: BBC/DR

In House of Cards, Lars’s character, Viktor Petrov, president of the Russian Federation, has the same initials and KGB background as the real deal. Was Mikkelsen really just playing Putin? “Oh yeah, it was some version of him. But the work I did was how to elaborate on that and not just make it a parody.” Mikkelsen watched films of Putin’s prime minister, Dmitry Medvedev, and foreign minister, Sergey Lavrov, and was struck by their being soft cops to his hard cop. “Lavrov is much more suave than Putin, who comes across as very callous and harsh. And Petrov, to me, was a suave character.”

The final run of House of Cards was unusual because the show had lost the lead, after Netflix’s removal of Kevin Spacey, who played President Frank Underwood. This followed multiple allegations of past sexual misbehaviour on movie sets and elsewhere, some of which he has denied, but which remain in various stages of investigation.

Was there a strained atmosphere on the Spacey-less set? “I got in so late in the last season – there were doubts about whether it was going to happen at all – that everyone had settled by then. People just wanted to finish it off as well as possible. So I didn’t really feel any tension. But of course, it was strange that he wasn’t there. That was weird.”

Turning suddenly solemn, Mikkelsen says: “All I can say is that he was nice to me, man. And a phenomenal actor. It’s sad, really sad.” Has he had any contact with Spacey subsequently? “No! I don’t know the man. That’s the difference between working in Denmark and outside. I didn’t really know any of the people on House of Cards. In Denmark, we go out and have beers.” Had there ever been any gossip or unease about Spacey on set? “I never heard anything really. But for that final season, I was maybe there four days.”

Note the initials … as Russian president Viktor Petrov in House of Cards. Photograph: David Giesbrecht/Netflix

The #MeToo movement has hit Scandinavian showbusiness also, he says: “It’s a necessary movement. Predators have no place in the business.” Scandinavia has always been seen as a very sexually free place. Was that a complication? “Yes, that was an issue. But it has to be freedom with consent. You can always discuss how serious an offence was and whether there can be assumption of guilt without trial and so on. But that’s all secondary to the need to do something – and this movement did something.”

Mikkelsen now acts regularly in both Danish and English. Does he think of them as “home” and “away” tongues, or is he comfortable in both? “I’m getting more and more at home in English, but it’s still quite an effort. With House of Cards, I had a Russian accent, which really helps to go somewhere that isn’t English English. For Sherlock, I had a Scandi accent. I’d like to be able to speak English without an accent, but it will take years yet.”

He’s currently filming The Witcher, a fantasy series for Netflix based on a video game, and will host more episodes of the factual series Historien om Danmark, a huge hit at home, which tells the story of the people, landscape and wildlife of his nation. It has given him the second surprise conversion of his career. He laughs loudly. “Now I’m the David Attenborough of Denmark!”

• Ride Upon the Storm is on Channel 4 on Sunday nights at 11pm, and is available from Walter Presents on All 4 now.