In Rome he lived at Via Sistina in front of the Spanish Steps and had his workshop in the stables of the Palazzo Barberini. He was taken under the wing of Georg Zoëga a Danish archeologist and numismatist living in Rome. Zoëga took an interest in seeing to it that the young Thorvaldsen acquired an appreciation of the antique arts. As a frequent guest at Zoëga's house he met Anna Maria von Uhden, born Magnani. She had worked in Zoëga's house as a maid and had married a German archeologist. She became Thorvaldsen's mistress and left her husband in 1803. In 1813 she gave birth to a daughter, Elisa Thorvaldsen.
Thorvaldsen also studied with another Dane, Asmusm Jacob Carstens whose handling of classic themes became a source of inspiration. Thorvaldsen's first success was the model for a statue of Jason; finished in 1801 it was highly praised by Antonio Canova, the most popular sculptor in the city. But the work was slow in selling and his stipend having run out, he planned his return to Denmark. In 1803, as he was set to leave Rome, he received the commission to execute the Jason in marble from Thomas Hope, a wealthy English art-patron. From that time Thorvaldsen's success was assured, and he did not leave Italy for sixteen years.
The marble Jason was not finished until 25 years later, as Thorvaldsen quickly became a busy man. Also in 1803, he started work on Achilles and Briseis his first classically themed relief. I 1804 he finished Dance of the Muses at Helicon and a group statue of Cupid and Psyche and other important early works such as Apollo, Bacchus og Ganymedes. During 1805 he had to expand his workshop and enlist the help of several assistants. These assistants undertook most of the marble cutting, and the master limited himself to doing the sketches and finishing touches. Commissioned by Ludwig I of Bavaria in 1808 and finished in 1832 a statue of Adonis is one of the few works in marble carved solely by Thorvaldsen's own hand, and at the same time it is one of the works that is closest to the antique Greek ideals.
In the spring of 1818 Thorvaldsen fell ill, and during his convalescence he was nursed by the Scottish lady Miss Frances Mackenzie. Thorvaldsen proposed to her on March 29, 1819, but the engagement was cancelled after a month. Thorvaldsen had fallen in love with another woman: Fanny Caspers. Torn between Mackenzie and Anna Maria Von Uhden the mother of his daughter, Thorvaldsen never succeeded in making Miss Caspers his wife.Contemporary painting by Fritz Wesphal of Thorvaldsen's reception as a national hero on his return to Denmark in 1838.
In 1819 he visited his native Denmark. Here he was commissioned to make the colossal series of statues of Christ and the Twelve Apostles for the rebuilding of Vor Frue Kirke (from 1922 known as the Copenhagen Cathedral) between 1817 and 1829, after its having been destroyed in the British bombardment of Copenhagen in 1807. These were executed after his return to Rome, and were not completed until 1838, when Thorvaldsen returned with his works to Denmark, being received as a hero.