The Scandinavian-American Line came into being in 1898 following the amalgamation of two existing Danish shipping lines, both of which already had experience of regular saiings to the U.S.A. Their combined fleets were mostly outdated however, and the new company soon decided to relaunch its Copenhagen to New York service with three custom-built steamers more suited to the prestigious North Atlantic route than their existing tonnage. Orders were placed with Stephen's of Glasgow and the second to be laid down was Hellig Olav (Saint Olaf, patron saint of Norway).

Launched on 16 December 1902, she was completed early the following year and left Copenhagen on her maiden voyage on 25 March 1903. Registered at 10,085 tons, she measured 500½ feet in length with a 58 foot beam, and could cruise at 15 knots. With comfortable accommodation for 130 1st, 140 2nd and 1,400 3rd class passengers, she proved a popular ship and - along with her two consorts Oscar II and United States - highly profitable, particularly during the Great War when Denmark remained neutral and consumer demand for "safe" risk-free passages was at a peak. In 1922, in response to changing marked conditions, she started carrying 'cabin class' passengers in place of 1st and 2nd and, in 1927, 'tourist 3rd' was introduced. As the world's depression worsened however, passenger traffic fell so dramatically that Hellig Olav was laid up in 1931 and eventually scrapped in 1934.