When the German armed forces occupied Denmark on 9 April 1940, during World War II, Borge was playing a concert in Sweden and managed to escape to Finland.[9] He travelled to America on the United States Army transport American Legion, the last neutral ship to make it out of Petsamo, Finland,[10][11] and arrived 28 August 1940, with only $20 (about $365 today), with $3 going to the customs fee. Disguised as a sailor, Borge returned to Denmark once during the occupation to visit his dying mother.[12]