After graduating from high school with straight-A grades, in the late 1970s he spent some time in the United States on various academic scholarships, studying chemistry at Washington State University and Clemson University. Lundgren says that "my dad always told me that if I wanted to make something special with my life, I had to go to America."After serving his mandatory two years in the Swedish Marine Corps at the Amphibious Ranger School, he enrolled at the Royal Institute of Technology in Stockholm and graduated with a degree in chemical engineering.
Amidst his years of studying, Lundgren honed his karate skills by training hard in the dojo for five years, eventually attaining the rank of 3rd dan black belt in Kyokushin in 1978. He captained the Swedish Kyokushin karate team, and was a formidable challenger at the 1979 World Open Tournament (arranged by the Kyokushin Karate Organization) when he was only a green belt. He won the European championships in 1980 and 1981, and a heavyweight tournament in Australia in 1982. In 1982, Lundgren graduated with a master's degree in chemical engineering from the University of Sydney, finishing with the highest results in his class. During his time in Sydney, he earned a living as a bouncer in a nightclub at the infamous King's Cross. He was awarded a Fulbright Scholarship to the Massachusetts Institute of Technology in 1983. However, while preparing for the move to Boston, he was spotted in the nightclub he worked at in Sydney and was hired by Grace Jones as a bodyguard. He fell in love with Jones and their relationship developed dramatically, moving with her to New York City.