This article analyses the risk of homelessness in the Danish adult population. The study is based on individual, administrative micro-data for about 4.15 million Danes who were 18 years or older on 1 January 2002. Homelessness is measured by shelter use from 2002 to 2011. Data also cover civil status, immigration background, education, employment, income, mental illness, drug and alcohol abuse, and previous imprisonment over five years prior to the measurement period. Prevalence of shelter use shows a considerable risk of homelessness amongst individuals experiencing multidimensional social exclusion. Nonetheless, even in high-risk groups such as drug abusers and people with a dual diagnosis, the majority have not used shelters. A multivariate analysis shows significantly higher use of homeless shelters amongst immigrants and individuals with low income, unemployment, low education, mental illness, drug or alcohol abuse, or a previous imprisonment. The highest risk of shelter use is associated with drug abuse, alcohol abuse, mental illness and previous imprisonment, whereas the risk associated with low income is smaller than for the psychosocial vulnerabilities. The results show that homelessness in Denmark is widely concentrated amongst individuals with complex support needs, rather than associated with wider poverty problems.