The third way is central to the market turn that has taken place across the Western world since the 1970s. In this article, we explore the origins of the third way in Denmark, focusing on economist and Social Democratic dissident Jørn Henrik Petersen. We show how Petersen from the late 1970s onwards imported a new economic perspective on politics in the form of public choice theories into Danish debates about the welfare state, which contributed to making the third way possible as a cross-ideological project by allowing politicians of different colours to criticize, defend and reform the welfare state.