On 15 August 1885, he traveled to Baku with Erhard Sandgren and instructed him there for seven months, and he himself began to learn the Latin, French, German, Persian, Russian, English and Tatar languages. He later learned several Persian dialects as well as Turkish, Kyrgyz, Mongolian, Tibetan and some Chinese.

From 1886 to 1888, Hedin studied under the Geologist Waldemar Brøgger in Stockholm and Uppsala the subjects of geology, mineralogy, zoology and Latin. In December 1888, he became a Candidate in Philosophy. From October 1889 to March 1890 he studied in Berlin under Ferdinand Freiherr von Richthofen.

In 1887, Hedin published a book about these travels entitled Through Persia, Mesopotamia and the Caucasus.

On 12 May 1890, he accompanied as interpreter and vice-consul a Swedish legation to Iran which was to present the Shah of Iran with the insignia of the Order of the Seraphim. As part of the Swedish legation, he was at an audience of the shah Naser al-Din Shah Qajar in Tehran. He spoke with him and later accompanied him to the Elburz Mountain Range. On 11 July 1890, he and three others climbed Mount Damavand where he collected primary material for his dissertation. Starting in September he traveled on the Silk Road via cities Mashhad, Ashgabat, Bukhara, Samarkand, Tashkent and Kashgar to the western outskirts of the Taklamakan Desert. On the trip home, he visited the grave of the Russian Asian scholar, Nikolai Przhevalsky in Karakol on the shore of Lake Issyk Kul. On 29 March 1891, he was back in Stockholm. He published the books King Oscar's Legation to the Shah of Persia in 1890 and Through Chorasan and Turkestan about this journey.

On 27 April 1892, Hedin traveled to Berlin to continue his studies under Ferdinand Freiherr von Richthofen. Beginning of July he went to University of Halle-Wittenberg, Halle, attending lectures by Alfred Kirchhoff. Yet in the same month, he received the degree of Doctor of Philosophy with a 28-page dissertation entitled Personal Observations of Damavand. This dissertation is a summary of one part of his book, King Oscar's Legation to the Shah of Persia in 1890. Eric Wennerholm remarked on the subject:

He started out on this expedition on 16 October 1893, from Stockholm, traveling via Saint Petersburg and Tashkent to the Pamir Mountains. Several attempts to climb the 7,546 metres (24,757 ft) high Muztagata—called the Father of the Glaciers—in the Pamir Mountains were unsuccessful. He remained in Kashgar until April 1895 and then left on 10 April with three local escorts from the village of Merket in order to cross the Taklamakan Desert via Tusluk to the Khotan River. Since their water supply was insufficient, seven camels died of thirst, as did two of his escorts (according to Hedin’s dramatized and probably inaccurate account). Bruno Baumann traveled on this route in April 2000 with a camel caravan and ascertained that at least one of the escorts who, according to Hedin, had died of thirst had survived, and that it is impossible for a camel caravan traveling in springtime on this route to carry enough drinking water for both camels and travelers.

Between 1894 and 1908, in three daring expeditions through the mountains and deserts of Central Asia, he mapped and researched parts of Chinese Turkestan (officially Xinjiang) and Tibet which had been unexplored until then. Upon his return to Stockholm in 1909 he was received as triumphantly as Adolf Erik Nordenskiöld. In 1902, he became the last Swede (to date) to be raised to the untitled nobility and was considered one of Sweden’s most important personalities. As a member of two scientific academies, he had a voice in the selection of Nobel Prize winners for both science and literature. Hedin never married and had no children, rendering his family line now extinct.

In January 1896, after a stopover in Kashgar, Hedin visited the 1,500-year-old abandoned cities of Dandan Oilik and Kara Dung, which are located northeast of Khotan in the Taklamakan Desert. At the beginning of March, he discovered Lake Bosten, one of the largest inland bodies of water in Central Asia. He reported that this lake is supplied by a single mighty feeder stream, the Kaidu River. He mapped Lake Kara-Koshun and returned on 27 May to Khotan. On 29 June, he started out from there with his caravan across northern Tibet and China to Beijing, where he arrived on 2 March 1897. He returned to Stockholm via Mongolia and Russia.

Another expedition in Central Asia followed in 1899-1902 through the Tarim Basin, Tibet and Kashmir to Calcutta. Hedin navigated the Yarkand, Tarim and Kaidu rivers and found the dry riverbed of the Kum-darja as well as the dried out lake bed of Lop Nur. Near Lop Nur, he discovered the ruins of the 340 by 310 metres (1,120 by 1,020 ft) former walled royal city and later Chinese garrison town of Loulan, containing the brick building of the Chinese military commander, a stupa, and 19 dwellings built of poplar wood. He also found a wooden wheel from a horse-drawn cart (called an arabas) as well as several hundred documents written on wood, paper and silk in the Kharosthi script. These provided information about the history of the city of Loulan, which had once been located on the shores of Lop Nur but had been abandoned around the year 330 CE because the lake had dried out, depriving the inhabitants of drinking water.

Hedin prepared a scientific publication for each of his expeditions. The extent of documentation increased dramatically from expedition to expedition. His research report about the first expedition was published in 1900 as Die geographisch-wissenschaftlichen Ergebnisse meiner Reisen in Zentralasien 1894–97 (Supplement 28 to Petermanns Mitteilungen), Gotha 1900. The publication about the second expedition, Scientific Results of a Journey in Central Asia, increased to six text and two atlas volumes. Southern Tibet, the scientific publication on the third expedition, totalled twelve volumes, three of which were atlases. The results of the Sino-Swedish Expedition were published under the title of Reports from the scientific expedition to the north-western provinces of China under leadership of Dr. Sven Hedin. The sino-Swedish expedition. This publication went through 49 editions.

Because of his outstanding services, Hedin was raised to the untitled nobility by King Oskar II in 1902, the last time any Swede was to receive a charter of nobility. Oskar II suggested that he prefix the name Hedin with one of the two Common predicates of nobility in Sweden, "af" or "von", but Hedin abstained from doing so in his written response to the king. In many noble families in Sweden, it was customary to do without the title of nobility. The coat of arms of Hedin, together with those of some two thousand noble families, is to be found on a wall of the Great Hall in Riddarhuset, the assembly house of Swedish nobility in Stockholm’s inner city, Gamla Stan.

In 1905, Hedin was admitted to membership in the Royal Swedish Academy of Sciences and in 1909 to the Royal Swedish Academy of War Sciences. From 1913 to 1952 he held the sixth of 18 chairs as an elected member of the Swedish Academy. In this position, he had a vote in the selection of Nobel Prize winners.

He received honorary doctorates from Oxford (1909), Cambridge (1909), Heidelberg (1928), Uppsala (1935), and Munich (1943) universities and from the Handelshochschule Berlin (1931) (all Dr. phil. h.c.), from Breslau University (1915, Dr. jur. h.c.), and from Rostock University (1919, Dr. med. h.c.).

Hedin had therewith decided to become an Explorer. He was attracted to the idea of traveling to the last mysterious portions of Asia and filling in the gaps by mapping an area completely unknown in Europe. As an Explorer, Hedin became important for the Asian and European powers, who courted him, invited him to give numerous lectures, and hoped to obtain from him in return topographic, economic and strategic information about inner Asia, which they considered part of their sphere of influence. As the era of discovery came to a close around 1920, Hedin contented himself with organizing the Sino-Swedish Expedition for qualified scientific explorers.

In 1923, Hedin traveled to Beijing via the USA—where he visited the Grand Canyon—and Japan. Because of political and social unrest in China, he had to abandon an expedition to Xinjiang. Instead, he traveled with Frans August Larson (called the "Duke of Mongolia") in November and December in a Dodge automobile from Peking through Mongolia via Ulaanbaatar to Ulan-Ude, Russia and from there on the Trans-Siberian Railway to Moscow.

The first part of the expedition, from 1927 to 1932, led from Beijing via Baotou to Mongolia, over the Gobi Desert, through Xinjiang to Ürümqi, and into the northern and eastern parts of the Tarim Basin. The expedition had a wealth of scientific results which are being published up to the present time. For Example, the discovery of specific deposits of iron, manganese, oil, coal and gold reserves was of great economic relevance for China. In recognition of his achievements, the Berlin Geographical Society presented him with the Ferdinand von Richthofen Medal in 1933; the same honor was also awarded to Erich von Drygalski for his Gauss Expedition to the Antarctic; and to Alfred Philippson for his research on the Aegean Region.

From 1931 until his death in 1952, Hedin lived in Stockholm in a modern high-rise in a preferred location, the address being Norr Mälarstrand 66. He lived with his siblings in the upper three stories and from the balcony he had a wide view over Riddarfjärden Bay and Lake Mälaren to the island of Långholmen. In the entryway to the stairwell is to be found a decorative stucco relief map of Hedin’s research area in Central Asia and a relief of the Lama temple, a copy of which he had brought to Chicago for the 1933 World's Fair.

From the end of 1933 to 1934, Hedin led—on behalf of the Kuomintang government under Chiang Kai-shek in Nanjing—a Chinese expedition to investigate irrigation measures and draw up plans and maps for the construction of two roads suitable for automobiles along the Silk Road from Beijing to Xinjiang. Following his plans, major irrigation facilities were constructed, settlements erected, and roads built on the Silk Road from Beijing to Kashgar, which made it possible to completely bypass the rough terrain of Tarim Basin.

One aspect of the geography of central Asia which intensively occupied Hedin for decades was what he called the “wandering lake” Lop Nur. In May 1934, he began a river expedition to this lake. For two months he navigated the Kaidu River and the Kum-Darja to Lop Nur, which had been filled with water since 1921. After the lake dried out in 1971 as a consequence of irrigation activities, the above-mentioned transportation link enabled the People’s Republic of China to construct a nuclear weapon test site at Lop Nur.

At the end of the expedition, Hedin was in a difficult financial situation. He had considerable debts at the German-Asian Bank in Beijing, which he repaid with the royalties and fees received for his books and lectures. In the months after his return, he held 111 lectures in 91 German cities as well as 19 lectures in neighboring countries. To accomplish this lecture tour, he covered a stretch as long as the equator, 23,000 kilometres (14,000 mi) by train and 17,000 kilometres (11,000 mi) by car—in a time period of five months. He met Adolf Hitler in Berlin before his lecture on 14 April 1935.

His caravan of truck lorries was hijacked by the Chinese Muslim General Ma Zhongying who was retreating from northern Xinjiang along with his Kuomintang 36th Division (National Revolutionary Army) from the Soviet Invasion of Xinjiang. While Hedin was detained by Ma Zhongying, he met General Ma Hushan, and Kemal Kaya Effendi.

In 1937 Hedin refused to publish his book Deutschland und der Weltfrieden (Germany and World Peace) in Germany because the Reich Ministry for Public Enlightenment and Propaganda insisted on the deletion of Nazi-critical passages. In a letter Hedin wrote to State Secretary Walther Funk dated 16 April 1937, it becomes clear what his criticism of National Socialism was in this time before the establishment of extermination camps:

The Nazis attempted to achieve a close connection to Hedin by bestowing awards upon him. They asked him to present an address on Sport as a Teacher at the 1936 Summer Olympics in Berlin’s Olympic stadium. They made him an honorary member of the German-Swedish Union Berlin (German: Deutsch-Schwedischen Vereinigung Berlin e.V.) In 1938, they presented him with the City of Berlin’s Badge of Honor (German: Ehrenplakette der Stadt Berlin). For his 75th birthday on 19 February 1940 they awarded him the Order of the German Eagle; shortly before that date it had been presented to Henry Ford and Charles Lindbergh. On New Year’s Day 1943 they released the Oslo professor of philology and university rector Didrik Arup Seip from the Sachsenhausen concentration camp at Hedin’s request in order to obtain Hedin's agreement to accept additional honors during the 470th anniversary of Munich University. On 15 January 1943, he received the Gold Medal of the Bavarian Academy of Sciences (Goldmedaille der Bayerischen Akademie der Wissenschaften). On 16 January 1943 he received an honorary doctorate from the faculty of natural sciences of Munich University. On the same day, the Nazis founded in his absence the Sven Hedin Institute for Inner Asian Research located at Mittersill Castle, which was supposed to serve the long-term advancement of the scientific legacy of Hedin and Wilhelm Filchner as Asian experts. However, it was instead misused by Heinrich Himmler as an institute of the Research Association for German Genealogical Inheritance (Forschungsgemeinschaft Deutsches Ahnenerbe e.V.). On 21 January 1943, he was requested to sign the Golden Book of the city of Munich.

After the third senate of the highest German military court (Reichskriegsgericht) in Berlin condemned to death for alleged espionage the ten Norwegians Sigurd Jakobsen, Gunnar Hellesen, Helge Børseth, Siegmund Brommeland, Peter Andree Hjelmervik, Siegmund Rasmussen, Gunnar Carlsen, Knud Gjerstad, Christian Oftedahl and Frithiof Lund on 24 February 1941, Hedin successfully appealed via Colonel General Nikolaus von Falkenhorst to Adolf Hitler for their reprieve. Their death penalty was converted on 17 June 1941 by Adolf Hitler to ten years forced labor. The Norwegians Carl W. Mueller, Knud Naerum, Peder Fagerland, Ottar Ryan, Tor Gerrard Rydland, Hans Bernhard Risanger and Arne Sørvag who had been condemned to forced labor under the same charge received reduced sentences at Hedin’s request. Unfortunately, Hans Bernhard Risanger died in prison just a few days before his release.

On 8 June 1942, the Nazis increased the pressure on Hedin by deporting Alfred Philippson and his family to the Theresienstadt concentration camp. By doing so, they accomplished their goal of forcing Hedin against his conscience to write his book Amerika im Kampf der Kontinente in collaboration with the Ministry of Public Enlightenment and Propaganda and other government agencies and to publish it in Germany in 1942. In return, the Nazis Classified Alfred Philippson as “A-prominent” and granted his family privileges which enabled them to survive.

Von Falkenhorst was condemned to death, by firing squad, by a British military court on August 2, 1946, because of his responsibility for passing on a Führerbefehl called the Commando Order. Hedin intervened on his behalf, achieving a pardon on December 4, 1946, with the argument that von Falkenhorst had likewise striven to pardon the ten Norwegians condemned to death. Von Falkenhorst's death penalty was commuted by the British military court to 20 years in prison. In the end, Nikolaus von Falkenhorst was released early from the Werl war Criminals prison on July 13, 1953.

Hedin died at Stockholm in 1952. The memorial Service was attended by representatives of the Swedish royal household, the Swedish government, the Swedish Academy, and the diplomatic Service. He is buried in the cemetery of Adolf Fredrik church in Stockholm.

In the Adolf Frederick church can be found the Sven Hedin memorial plaque by Liss Eriksson. The plaque was installed in 1959. On it, a globe with Asia to the fore can be seen, crowned with a camel. It bears the Swedish epitaph:

Hedin described it as a peripatetic university in which the participating Scientists worked almost independently, while he—like a local manager—negotiated with local authorities, made decisions, organized whatever was necessary, raised funds and recorded the route followed. He gave archaeologists, astronomers, botanists, geographers, geologists, meteorologists and Zoologists from Sweden, Germany and China an opportunity to participate in the expedition and carry out research in their areas of specialty.

A scientific assessment of Hedin’s character and his relationship to National Socialism was undertaken at Bonn University by Professor Hans Böhm, Dipl.-Geogr. Astrid Mehmel and Christoph Sieker M.A. as part of the DFG Project Sven Hedin und die deutsche Geographie (Sven Hedin and German Geography).