The Hollywood actor is the second housemate to be evicted in tonight's final, after the Shannon twins left earlier.
Donning a pair of sunglasses and a cowboy hat, the Reservoir Dogs star received a mixed reception from the Elstree crowd as he left the house.
Expressing his shock at coming so far, Madsen told host Brian Dowling: "I didn't even think I'd make it for three days - I'm just not cut out for this sort of thing."
When asked about his feelings towards Denise Welch, who he has feuded with since the series started, he said: "Could you ask security to keep her away from me?"
"I couldn't really tell what she was after, but she was definitely after me," Madsen added.
Watch Michael Madsen's eviction from Celebrity Big Brother below: