The son of Frederick II, king of Denmark and Norway, and Sofie of Mecklenburg-Schwerin, he was born at Frederiksborg castle in 1577, and succeeded to the throne on the death of his father (4 April 1588), attaining his majority on 17 August 1596. On 30 November 1597 he married Anne Catherine of Brandenburg, a daughter of Joachim Friedrich, margrave of Brandenburg and duke of Prussia. The queen died fourteen years later, after bearing Christian six children. Four years after her death the king privately wedded a handsome young gentlewoman, Kirsten Munk, by whom he had twelve children — a connection which was to be disastrous to Denmark. It is believed that he, counting both legitimate and illegitimate, had at least 26 children, quite possibly more. He descended, through his mother's side, from king Hans of Denmark, thus uniting the senior branch' descent to the crown.

He is frequently remembered as one of the most remarkable Danish kings, having initiated many reforms and projects, and ruling for just under sixty years.

Despite courtly life, he found time for work of the most various description, including a series of domestic reforms. He also did much for the national armaments. New fortresses were constructed under the direction of Dutch engineers. The Danish navy, which in 1596 consisted of but twenty-two vessels, in 1610 rose to sixty, some of them being built after Christian's own designs. The formation of a national army was more difficult. Christian had to depend mainly upon hired troops (mercenaries) as was common practice in the times—well before the establishment of standing armies—augmented by native peasant levies recruited for the most part from the peasantry on the crown domains.

Christian first initiated the policy of expanding Denmark's overseas trade, as part of the mercantilist wave that was sweeping Europe. Denmark's first colony was established at Tranquebar, or Trankebar, on India's south coast in 1620. He also assigned the privilege establishing the Danish East India Company. This was in large part the beginning of Danish colonial empire.

His first experiment with his newly organized army was successful. In the war with Sweden, generally known as the Kalmar War (1611–1613) because its chief operation was the Danish capture of Kalmar, the eastern fortress of Sweden, Christian compelled King Gustavus Adolphus of Sweden to give way on all essential points at the Treaty of Knäred (20 January 1613).

He now turned his attention to Germany. His objectives were twofold: first, to obtain control of the great German rivers— the Elbe and the Weser— as a means of securing his dominion of the northern seas; and secondly, to acquire the secularized German prince-bishoprics of Bremen and Verden as appanages for his younger sons. He skillfully took advantage of the alarm of the German Protestants after the Battle of White Mountain in 1620, to secure coadjutorship of the See of Bremen for his son Frederick (September 1621). A similar arrangement was reached in November at Verden. Hamburg was also induced to acknowledge the Danish overlordship of Holstein by the compact of Steinburg in July 1621.

The growing ascendancy of the Catholics in North Germany in and after 1623 almost induced Christian, for purely political reasons, to intervene directly in the Thirty Years' War. For a time, however, he stayed his hand, but the urgent solicitations of the western powers, and, above all, his fear lest Gustavus Adolphus should supplant him as the champion of the Protestant cause, finally led him to plunge into war against the combined forces of the emperor and the League, without any adequate guarantees of co-operation from abroad. On 9 May 1625 Christian quit Denmark for the front. He had at his disposal from 19,000 to 25,000 men, and at first gained some successes; but on 27 August 1626 he was utterly routed by Tilly in the Battle of Lutter am Barenberge, and in the summer of 1627 both Tilly and Wallenstein, ravaging and burning, occupied the duchies and the whole peninsula of Jutland. In his extremity Christian now formed an alliance with Sweden (1 January 1628), whereby Gustavus Adolphus pledged himself to assist Denmark with a fleet in case of need, and shortly afterwards a Swedo-Danish army and fleet compelled Wallenstein to raise the siege of Stralsund. Thus the possession of a superior sea-power enabled Denmark to tide over her worst difficulties, and in May 1629 Christian was able to conclude peace with the emperor at Lübeck, without any diminution of territory.

Christian IV was now a broken man. His energy was temporarily paralysed by accumulated misfortunes. Not only his political hopes, but his domestic happiness had suffered shipwreck. In the course of 1628 he discovered a scandalous intrigue of his wife, Kirsten Munk, with one of his German officers; and when he put her away she endeavoured to cover up her own disgrace by conniving at an intrigue between Vibeke Kruse, one of her discharged maids, and the king. In January 1630 the rupture became final, and Kirsten retired to her estates in Jutland. Meanwhile Christian openly acknowledged Vibeke as his mistress, and she bore him a numerous family. Vibeke's children were of course the natural enemies of the children of Kirsten Munk, and the hatred of the two families was not without influence on the future history of Denmark. Between 1629 and 1643, however, Christian gained both in popularity and influence. During that period he obtained once more the control of the foreign policy of Denmark as well as of the Sound Tolls, and towards the end of it he hoped to increase his power still further with the assistance of his sons-in-law, Corfitz Ulfeldt and Hannibal Sehested, who now came prominently forward.

Even at the lowest ebb of his fortunes Christian had never lost hope of retrieving them, and between 1629 and 1643 the European situation presented infinite possibilities to politicians with a taste for adventure. Christian was no statesman, and was incapable of a consistent policy. He would neither conciliate Sweden, henceforth his most dangerous enemy, nor guard himself against her by a definite system of counter-alliances. By mediating in favour of the emperor, after the death of Gustavus Adolphus in 1632, he tried to minimize the influence of Sweden in Germany, and did glean some minor advantages. But his whole Scandinavian policy was so irritating and vexatious that Swedish statesmen made up their minds that a war with Denmark was only a question of time; and in the spring of 1643 it seemed to them that the time had come. They were now able, thanks to their conquests in the Thirty Years' War, to attack Denmark from the south as well as the east; the Dutch alliance promised to secure them at sea, and an attack upon Denmark would prevent her from utilizing the impending peace negotiations to the prejudice of Sweden. In May the Swedish Privy Council decided upon war; on 12 December the Swedish Field Marshal Lennart Torstensson, advancing from Bohemia, crossed the southern frontier of Denmark; by the end of January 1644 the whole peninsula of Jutland was in his possession. This totally unexpected attack, conducted from first to last with consummate ability and lightning-like rapidity, had a paralysing effect upon Denmark. Fortunately for his subjects, in the midst of almost universal helplessness and confusion, Christian IV knew his duty and had the courage to do it.

In his sixty-sixth year he once more displayed something of the magnificent energy of his triumphant youth. Night and day he laboured to levy armies and equip fleets. Fortunately too for him, the Swedish government delayed hostilities in Scania till February 1644, so that the Danes were able to make adequate defensive preparations and save the important fortress of Malmö. Torstensson, too, was unable to cross from Jutland to Funen for want of a fleet, and the Dutch auxiliary fleet which came to his assistance was defeated between the islands of Sylt and Rømø on the west coast of Schleswig by the Danish admirals. Another attempt to transport Torstensson and his army to the Danish islands by a large Swedish fleet was frustrated by Christian IV in person on 1 July 1644. On that day the two fleets encountered off Kolberge Heath, SE of Kiel Bay, and Christian displayed a heroism which endeared him ever after to the Danish nation and made his name famous in song (Danish royal anthem, "King Christian Stood By the Lofty Mast") and story. As he stood on the quarter-deck of the Trinity a cannon close by was exploded by a Swedish cannonball, and splinters of wood and metal wounded the king in thirteen places, blinding one eye and flinging him to the deck. But he was instantly on his feet again, cried with a loud voice that it was well with him, and set every one an example of duty by remaining on deck till the fight was over. Darkness at last separated the contending fleets; and though the battle was a drawn one, the Danish fleet showed its superiority by blockading the Swedish ships in Kiel Bay. But the Swedish fleet escaped, and the annihilation of the Danish fleet by the combined navies of Sweden and the Netherlands, after an obstinate fight between Fehmarn and Lolland at the end of September, exhausted the military resources of Denmark and compelled Christian to accept the mediation of France and the United Provinces; and peace was finally signed at Brömsebro on 8 February 1645. Here Denmark had to cede Gotland, Ösel and (for thirty years) Halland while Norway lost the two provinces Jämtland and Härjedalen.

The last years of the king were still further embittered by sordid differences with his sons-in-law, especially with the most ambitious of them, Corfitz Ulfeldt. On 21 February 1648, at his earnest request, he was carried in a litter from Frederiksborg to his beloved Copenhagen, where he died a week later. He was buried in Roskilde Cathedral.

Christian founded a large number of towns and buildings in his countries. These include: Christianshavn, Christiania (now Oslo, modern capital of Norway, founded after a fire destroyed the original city in 1624), Glückstadt (founded as a rival to Hamburg), Christianstad, and Christiansand. Two short-lived towns were Christianspris in Schleswig near Kiel and Christianopel near the Swedish border. Two settlements were constructed for industrial purposes: Kongsberg in Norway to mine a silver deposit and Kobbermølle in Schleswig as a copper mill.

Christian's best known buildings include the observatory Rundetårn, the stock exchange Børsen, the Copenhagen fortress Kastellet, Rosenborg Castle, workers' district Nyboder, the Copenhagen naval Church of Holmen (Holmens Kirke), Proviantgården, a brewery, the Tøjhuset arsenal, and two Trinity Churches in Copenhagen and modern Kristianstad, now known as respectively Trinitatis Kirke and Heliga Trefaldighetskyrkan. Christian converted Frederiksborg Castle to a Renaissance palace and completely rebuilt Kronborg Castle to a fortress. He also founded the Danish East India Company inspired by the similar Dutch company. He is the central figure in the Danish royal anthem Kong Kristian and features in the Danish national play, Elverhøj. He also appears in the alternative history novel 1634: The Baltic War.