In June 2018, Cajuste was acquired by Denmark’s FC Midtjylland, where he signed a five-year contract.[5] Cajuste made his debut for Midtjylland on 26 August 2018 against Randers FC.[6] He made his UEFA Champions League debut in a 2020–21 group stage home game against Atalanta which Midtjylland lost 0–4.[7]