Belfrage worked in the Ministry for Foreign Affairs from 1970 to 1987 as a diplomat in Geneva, Washington, D.C., Bucharest, Beirut, and Paris. In 1987, he became vice president at Skandinaviska Enskilda Banken and as an adviser to Investor AB. Belfrage also served as an advisor to Peter Wallenberg and the Wallenberg family between 1987 and 2012.