Before the monks there was a royal estate, standing here by the year 1000 and probably earlier. In 1086 King Canute IV fled his residence at Børglum when the peasants of Vendsyssel rose against him; the buildings burned and were later rebuilt. Sometime between 1134 and 1139 the crown handed the estate to the church to serve as the new seat of the bishopric of northern Jutland — the diocese of Vendsyssel, previously based at Vestervig. Bishop Self, sometimes written Sylvester, came north from Vestervig as the first bishop of Børglum in 1139. Who founded the monastery itself is not certain; the Augustinians of Vestervig may simply have relocated here by 1134.

In the 1180s the Premonstratensians arrived as a daughter house of Steinfeld Abbey near Cologne, and Børglum became in turn the mother house of every Premonstratensian foundation in Scandinavia. It rose fast on royal patronage and ran a seminary where noble families sent at least one son. Before 1220 the bishop made the abbey his episcopal seat outright: the church became a cathedral and the canons doubled as its chapter. That made the bishop the largest landowner in North Jutland and, ex officio, a member of the State Council advising the king. The church itself was a Romanesque basilica of local granite, modelled — it is believed — on Viborg Cathedral. A flat timber ceiling and almost no windows made it dark inside, and the walls were massive enough to keep the sea storms out, which on that ridge was the point.

Hans Christian Andersen published "Bispen paa Børglum og hans Frænde" in 1861, drawing on a seventeenth-century family chronicle, and the legend behind it is grim. Jens Glob — remembered as Jens Glob the Hard — was studying abroad when his father died. The bishop of Børglum, Oluf Glob, was a relative — which did not stop him pursuing the widow through the courts for her lands in Thy. Banned and financially ruined, she set out for Rome to appeal to the pope, met her son on the way, and came home with him. The lawsuits still failed. In 1260 Jens Glob killed the bishop and several of his companions during a service in Hvidbjerg Church on Thyholm; tradition sets it at Christmas, while contemporary sources give 29 August. He seems never to have been prosecuted. Andersen kept the violence and set the whole thing at Børglum, which is why a Thyholm murder is remembered here.

A fire in 1500 destroyed much of the old church. Rebuilding began in the high Gothic manner, with arched ceilings; by 1520 choir and nave were up and work had started on the transepts meant to join them. Then the Reformation arrived and the scaffolding never came down. The last Catholic bishop of Vendsyssel and abbot of Børglum was Stygge Krumpen, who could not hold back the Lutheran tide. Arrested in 1536 and held for several years, he was released after accepting Lutheranism and agreeing to marry, then given the former nunnery of Asmild near Viborg — on condition that he provide for the nuns who, after their own house was dissolved that same year, had nowhere else to go. Børglum was dissolved on 30 October 1536. Its church served as northern Jutland's cathedral until 1554, when the Lutheran bishop moved the seat to Budolfi Church in Aalborg, and later the nobleman Godslev Budde got Frederik II's permission to pull down the unfinished transepts and close the building back into its basilica shape.

The estate passed to noble families and became a manor. In January 1764 a Colonel Poulsen living at Børglum opened a box that had come by post; it held gunpowder and a firelock that ignited it, and he was badly injured. The historian Bolle Willum Luxdorph noted the affair in his diary on 19 January, and again on 15 February, when the colonel received a letter in German promising that "soon the dose will be increased." Nobody was ever caught, and it is frequently cited as one of the earliest recorded mail bombs anywhere. The buildings were given national protection in 1958, the remains now house a museum of the site's history, and the church still serves the parish. Among the exhibits is a full-size embroidered copy of the Bayeux Tapestry, the Norman conquest stitched out at length in a Vendsyssel farm building. The name travelled, too: the Arctic explorer Lauge Koch named the Børglum River in North Greenland after the abbey in 1938.