Thunberg began competing on the international level at the age of 28, skating at the 1922 world championships. Two years later he made his Winter Olympics debut at Chamonix, France, where he won three gold medals (1,500- and 5,000-metre races and the combined event), a silver (10,000-metre race), and a bronze (500-metre race). Thunberg, the most decorated athlete at Chamonix, became known as “Nurmi on ice,” a reference to the great Finnish long-distance runner Paavo Nurmi (Nurmi, Paavo). In 1928 at the Games in Saint Moritz, Switzerland, Thunberg won the 1,500-metre event and shared the gold medal in the 500-metre race with Bernt Evensen of Norway. At the age of 39, Thunberg, who was in exceptional condition from year-round training, was scheduled to compete at the 1932 Games in Lake Placid, New York, U.S. (Olympic Games) However, enraged by the pack-style racing introduced by the Americans, he withdrew from the Games. It was his last Olympics.

From 1922 to 1932, Thunberg was a four-time European champion and a five-time world champion. He set three world records, with his last coming in 1931 at the age of 37. In 1935 Thunberg made his final world championship appearance and soon after retired from competition. He later became involved in politics, serving in the Finnish parliament.