Following graduation from Princeton in 2003, Hegseth joined Bear Stearns as an equity capital markets analyst and was also commissioned as a reserve infantry officer into the U.S. Army National Guard. In 2004 his unit was called to Guantánamo Bay, where he served as an infantry platoon leader. He was awarded the Army Commendation Medal. Shortly after returning from Cuba, Hegseth volunteered to serve in Baghdad and Samarra, where he held the position of infantry platoon leader and, later in Samarra, of civil–military operations officer. During his time in Iraq, he was awarded the Bronze Star Medal, Combat Infantryman Badge, and a second Army Commendation Medal.

Upon return from Iraq, Hegseth worked briefly at the Manhattan Institute for Policy Research. According to his LinkedIn page, Hegseth left the conservative think tank in 2007 to work at Vets For Freedom as executive Director. He worked at Vets for Freedom until 2012. Vets for Freedom advocated for a greater troop presence in Iraq and Afghanistan.

Hegseth and his second wife, Samantha, have three children. Hegseth divorced his first wife, Meredith Schwarz, in 2009, after admitting to infidelity.

Hegseth ran for the Republican nomination for the United States Senate election in Minnesota, 2012. He lost the Republican party primary to Kurt Bills.

Hegseth has appeared as a Fox News Channel military analyst and made multiple television appearances on the Fox News Channel, CNN, and MSNBC. Hegseth is also a term member of the Council on Foreign Relations and a contributor to the National Review Online. He has written editorials in The Wall Street Journal, The Washington Post, New York Post, and The Washington Times. Hegseth joined Fox News as a contributor in 2014.

On June 14, 2015, Hegseth threw an axe which struck and injured a member of the West Point Hellcats. During a live broadcast on Fox & Friends, the co-host threw a double-bit lumberjack axe that overshot the wooden target, and hit Drummer SFC Jeff Prosperie across his right elbow. The axe head hit broadside on the arm such that Prosperie narrowly missed significant injury, but he did sustain minor cuts across the wrist as the axe tumbled after the initial impact. Coordination of the event and broadcast between the West Point Band and Fox assured that there would be no axe throwing while the Service members were performing behind the target.

While Hegseth was the chief executive of Concerned Veterans for America, he hired his brother Philip to work for the non-profit and paid him $108,000 according to tax records from 2016 and 2017.

In September 2017, Hegseth interviewed President Donald Trump. Hegseth received criticism for allowing Trump to make false claims without challenging him. For instance, Trump falsely asserted on at least six instances in the interview that the attempt to repeal the Affordable Care Act failed because of a "hospitalized senator", yet Hegseth never pressed him on it. According to the Washington Post, Hegseth's "interview was notable for one reason: A viewer who got most of his news from Fox heard only scant details about the contents of Cassidy-Graham. As with the previous attempts to partially repeal the ACA, the bill was covered less for its substance than as a question of whether Republicans could deliver a “win” on a key issue." Philip Bump of the Washington Post provided a list of all notable claims that Trump made during the interview that warranted follow-up questions which Hegseth never asked. Hegseth has been speculatively mentioned as a hypothetical replacement for VA Secretary David Shulkin.