He went on his first expedition in 1902–1904, known as The Danish Literary Expedition, with Jørgen Brønlund, Harald Moltke and Ludvig Mylius-Erichsen, to examine Inuit culture. After returning home he went on a lecture circuit and wrote The People of the Polar North (1908), a combination travel journal and scholarly account of Inuit folklore. In 1908, he married Dagmar Andersen.
In 1910, Rasmussen and friend Peter Freuchen established the Thule Trading Station at Cape York (Uummannaq), Greenland, as a trading base. The name Thule was chosen because it was the most northernly trading post in the world, literally the "Ultima Thule". Thule Trading Station became the home base for a series of seven expeditions, known as the Thule Expeditions, between 1912 and 1933.
The First Thule Expedition (1912, Rasmussen and Freuchen) aimed to test Robert Peary's claim that a channel divided Peary Land from Greenland. They proved this was not the case in a remarkable 1,000-km journey across the inland ice that almost killed them. Clements Markham, president of the Royal Geographic Society, called the journey the "finest ever performed by dogs. Freuchen wrote personal accounts of this journey (and others) in Vagrant Viking (1953) and I Sailed with Rasmussen (1958).
The Second Thule Expedition (1916-1918) was larger with a team of seven men, which set out to map a little known area of Greenland's north coast. This journey was documented in Rasmussen's account Greenland by the Polar Sea (1921). The trip was beset with two fatalities, the only in Rasmussen's career. The Third Thule Expedition (1919) was depot-laying for Roald Amundsen's polar drift in Maud. The Fourth Thule Expedition (1919-1920) was in east Greenland where Rasmussen spent several months collecting ethnographic data near Angmagssalik.
Rasmussen's "greatest achievement" was the massive Fifth Thule Expedition (1921-1924) which was designed to "..attack the great primary problem of the origin of the Eskimo race." A ten volume account (The Fifth Thule Expedition 1921-1924 (1946)) of ethnographic, archaeological and biological data was collected, and many artifacts are still on display in museums in Denmark. The team of seven first went to eastern Arctic Canada where they began collecting specimens, taking interviews and excavations. Rasmussen left the team and traveled for 16 months with two Inuit hunters by dog-sled across North America to Nome, Alaska - he tried to continue to Russia but his visa was refused. He was the first person to cross the Northwest Passage via dog sled. His journey is recounted in Across Arctic America (1927), considered today a classic of polar expedition literature. This trip has also been called the "Great Sled Journey" and was dramatized in the Canadian film The Journals of Knud Rasmussen (2006).
For the next seven years Rasmussen traveled between Greenland and Denmark giving lectures and writing. In 1931, he went on the Sixth Thule Expedition, designed to consolidate Denmark's claim on a portion of eastern Greenland that was contested by Norway.
The Seventh Thule Expedition (1933) was meant to continue to the work of the sixth, but Rasmussen contracted pneumonia after an episode of food poisoning, dying a few weeks later in Copenhagen at the age of 54.