Vestervig Abbey was established in about 1059 making it one of Denmark's most ancient religious houses. About 1030 Saint Thøger settled at Vestervig and built the first wattle and clay church in Thy. Thøger was a Thuringian missionary who had been living in England when Olaf II went there on a Viking expedition. Thøger's wonderful sermons brought an invitation to return to Norway with Olav as his personal chaplain. He had, even as a young man, a reputation for being able to heal the sick. He became a personal advisor to Olaf II. When Olaf was driven from Norway in 1028, Thøger went with the king eastward into Sweden and as far as Kiev. Olaf returned to Norway in 1030, raised an army and tried to take the throne again. He was killed at the Battle of Stiklestad 29 July 1030. Olaf was locally canonized as Saint Olaf. Thøger fled Norway and settled at Vestervig. He began to teach the local people about Christianity without much success.
The abbey church and Vestervig church with the sacred spring were both dedicated to Saint Thøger and were locally important as pilgrimage sites. Thøger's fame as a healer spread far beyond Thy. Vestervig became the seat of the Bishop of Vestervig (later Børglum) in 1059 when Vendsyssel (Jutland above the Limfjord) was created as its own diocese after the death of Bishop Val. Thøger was named the patron saint of the diocese.
The Augustinian Canons who established themselves at Vestervig no later than 1140, were instrumental in the establishment of the Børglum Abbey which later supplanted Vestervig as the seat of the diocese. They were probably immigrants from England. The western end of the Limfjord had filled in making it impossible for ships to sail through the fjord from the North Sea. International trade virtually stopped. One reason for the transfer of the see to Børglum may have been to access the coast easier.
The Augustinians built a new church in the 13th century out of large red brick, the most common building material of the time. There was a nunnery at Kappel near Vestervig Abbey, and rumor had it that the monks built a tunnel that ran from the abbey to the nunnery, so that the canons could move back and forth without being seen. Local histories cite claims of brick work found under fields between the abbey and Kappel as evidence for the tunnel, but no serious excavations have been undertaken to prove or disprove the old story.
The abbey was dissolved in 1536 when Denmark became officially Lutheran. The monks either put off their habits and became local residents or left the country, perhaps south into Germany. The abbey became crown property and the properties which over the years had become part of the abbey estate were sold or given away. Several land owners purchased or inherited the property from that time.
Most of the abbey was destroyed by a fire in 1703. After the destruction of St. Thøger's Church in 1752, the abbey church became the parish church for the town of Vestervig. The church tower has two bells still in use from the abbey days: one cast in 1513 by Sven Andersen and the other cast by an unknown bell maker from the 15th century.
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