With Count Harald Moltke and Knud Rasmussen Mylius-Erichsen formed the Danish Literary Expedition (1902–04) to West Greenland, and in the early stages (1902) discovered near Evighedsfjord two ice-free mountain ranges. Later the party proceeded to Cape York and for 10 months lived native fashion with the Eskimo. The return journey of the expedition to Upernavik across the ice of Melville Bay was the first sledge crossing on record.
As commander of the Denmark Expedition (1906–08) Mylius-Erichsen undertook and carried out the task of exploring and charting the entire coastline of unknown northeast Greenland by three months' field work. The expedition made sledge journeys of more than 4000 miles (6,436 km), exceeding the record of any single Arctic force. The main travel, excluding duplications, of Johan Peter Koch was some 1250 miles (2011 km), and that of Mylius-Erichsen must have exceeded 1000 miles (1609 km). Their explorations showed that Robert Peary's chart of a coast trending southeast from Navy Cliff was radically incorrect. Instead the shore ran to the northeast, adding about 100,000 square miles (259,000 km2) to Greenland and extending it about halfway from Navy Cliff—where the maps wrongly placed Greenland Sea—to Spitzbergen. Mylius-Erichsen's own exploration proved that Peary Channel did not exist. Two years later Ejnar Mikkelsen (1880–1971), leader of a new Danish Greenland expedition, assumed the channel existed until he found Mylius-Erichsen's report in a cairn at the head of Danmark Fjord, where Mylius-Erichsen had written emphatically that:
... the Peary Channel does not exist.
Mylius-Erichsen established the continuity of Greenland from Cape Farewell, 60° N, to the most northern land ever reached, 83° 39' N. He also discovered and explored the great fiords of Danmark, Hagen, and Brønlund.
Misled by existing maps, Mylius-Erichsen with Niels Peter Høeg Hagen and the Greenlander Jørgen Brønlund so prolonged his journey that a return to the ship that spring was impossible, and they were forced to spend the summer in the area of the Denmark Fjord without the necessary footgear for hunting in the stony area. The need for food for men and dogs forced them to reduce their three dogteams to one. Finally in September they were able to start their return journey on the new frozen sea ice, around the northeastern corner of Greenland. But when they arrived at the southern shore of Mallemuk Mountain, they found open water and were forced to travel inland. En route Mylius-Erichsen and Hagen perished of starvation, exhaustion, and cold walking on the ice of the Nioghalvfjerd Fjord. Hagen's map sketches and the body of Brønlund together with his diary were found next spring by Koch in Lambert Land. Some cairn reports, left at Danmark Fjord by Mylius-Erichsen, were found and brought to Copenhagen by Ejnar Mikkelsen in 1912.
- Tatere (1898), a drama
- Vestjyder (1900), tales
- Den Jydske Hede før og nu (1903)
- Isblink (1904), poems from Greenland
- Grønland (1906)
- Report on the nonexistence of Peary Channel in Meddelelser om Grønland, (50 volumes, Copenhagen, 1876–1912), volume xli (1913), edited by Ejnar Mikkelsen.
- Mylius-Erichsen Land in northern Greenland was named after him.
- Denmark Expedition Memorial in Copenhagen.
- A silver commemorative medal issued in 1933 —25 years after the expedition— by Alf Trolle (1879–1949), captain of expedition ship Danmark and leader of the Denmark expedition after Mylius-Erichsen's death.
- Achton Friis, Danmark Expeditionen til Grönlands Nordostkyst (1909), reprinted in 1987 and 2005.
- Greely, True Tales of Arctic Heroism (New York, 1912)
- Rasmussen, People of the Polar North (Philadelphia, 1908)
- G. C. Amdrup, Report on the Denmark Expedition to the North-East Coastof Greenland (Copenhagen, 1913).
- Ole Ventegodt, "Den sidste Brik", Copenhagen, 1997
- Peter Freuchen, "Min grønlandske ungdom", 1936 (Memories)
- Apollonio, Spencer (2008). Lands That Hold One Spellbound: A Story of East Greenland. p. 128.