The year 1809 brought deep sorrows to Thorwaldsen in the death of his two friends, Stanley and Zoëga. He interested himself in the settlement of the affairs of the latter, and had much trouble and anxiety; but he managed to accomplish the modelling of six bas-reliefs in this year, in spite of the disturbed state of Rome on account of the pope's departure, and in spite of the hindrances in his own life.
In 1810 the King of Denmark made Thorwaldsen a Knight of Danebrog, and he was then known in Italy as the _Cavaliere Alberto_. His work this year was in bas-reliefs, and in 1811 he modelled a colossal statue of Mars, the bust of Mademoiselle Ida Brun, a lovely statue of Psyche, and his own portrait as a colossal Hermes.
The people of Denmark were growing very impatient at the prolonged absence of their artist. He had left home a mere boy, and was now famous over all the world. They wished for his return; a marble quarry had been discovered in Norway, and even Prince Christian Frederick wrote to Thorwaldsen to urge his going home. The sculptor wished to go, and even made some preparations to do so, when he received so important a commission that it was impossible to leave Rome. This new work was a frieze for one of the great halls in the Quirinal Palace. He chose the Entrance of Alexander the Great into Babylon for his subject, and it proved to be one of the most important works of his life. It was completed in June, 1812; and though it had been somewhat criticised as too rough in its finish, when it was elevated to its proper height it was all that had been expected by the artist's friends; later he repeated this frieze for his own countrymen. In Rome he was now frequently called the "Patriarch of Bas-relief." Soon after this he was made a member of the Imperial Academy of Vienna.
In 1813 Thorwaldsen was again a victim of malignant fever, and visited the baths of Lucca, in company with the Baron and Baroness von Schubart, for the benefit of his health. He met many people and received much honor, especially from the Grand Duchess of Tuscany. His health was improved, but his old and tried friend, the Baroness von Schubart, died the winter following; he felt her loss deeply, for she had been his friend and confidante from the time of his arrival in Rome.