Early on, Munk was a strong opponent of the German Occupation of Denmark (1940-1945), although he continually opposed the idea of democracy as such, preferring the idea of a "Nordic dictator" who should unite the Nordic countries and keep them neutral during periods of international crisis.
The Gestapo arrested Munk on the night of 4 January 1944, a month after he had defied a Nazi ban and preached the first Advent sermon at the national cathedral in Copenhagen.