As King already wrote some stuff from the upcoming album, he got some help from Michael Denner as they both sat down and wrote the remaining songs for the album together. It would be the first and only time that King would work together with someone else for writing stuff, as King really hates to do so because he can't take the time that he would to explore certain riffs. Some other songs later had to be written by both King and some other members, but it would only happen as they both work on their own, as one adds something to what the other has done. The band then entered the Sound Track Studio in Copenhagen in July and August 1985 to record the first King Diamond album. However, on the first day of recording, Floyd have been fired. He just wasn't good enough for King's tastes, and there was also a problem with his behaviour as he was partying and drinking more than what he should. He have been replaced by the former guitarist of the EF Band, Anders Allhage, who quickly changed his name for Andy La Rocque. Andy previously was in a band with Mikkey, who suggested Andy to King. The first release of the King Diamond band that would be released was the single "No Presents For Christmas", which was released in the following December, right before Christmas. With its comically evil take on Yuletide spirit, it also revealed a humorous side to King's songwriting that hadn't been glimpsed before. The single featured a B-Side called "Charon", which was a teaser of the forthcoming full-length album they had to release the following year. To celebrate King's first solo release, a gig in his native Denmark was performed on December 20th in Copenhagen.

On the single "No Presents For Christmas", we could see the logo King Diamond would then be using. In the logo was a symbol borrowed from The Satanic Bible, as we can see it on page 25 (The Nine Satanic Statements). This symbol is an infinity sign, which looks like a figure 8 on its side. A shortened Lorraine Cross is placed on top. A Lorraine cross is a Roman '†' cross, with a second, longer cross piece added below the main cross piece. This is an ancient symbol which alchemists, many of whom were Satanists, used to represent brimstone. 2 Brimstone is the element sulfur, and was long associated with Satan by the Christian church. LaVey might have adopted a brimstone symbol as a humorous gesture to poke fun at Christianity.

We had to wait until March 14th 1986 to hear the first full-length album of King Diamond: "Fatal Portrait", which was instantly embraced by Mercyful Fate fans as a natural extension of what the now-defunct band had been doing by selling over 100,000 copies in the USA alone. This album can be considered as half a concept album, as 5 out of its 9 songs are the same story: "The Candle", "The Jonah", "The Portrait", "Dressed In White" and "Haunted". It certainly led the way for the studio albums that had to follow, which all had to be concept albums, with the exception of "The Spider's Lullabye". With that album, not only King made a first step to create a concept, but he also avoided to mention the name Satan, while adding more magic and mystery to the lyrics. On "Fatal Portrait" was also included the song "Voices From The Past" featuring King on guitar; as this instrumental piece bothered Michael as hell, he just gave the guitar to King and told him to play the goddamn thing, which he did. It was the only song containing the whole guitar parts by King himself, but he later contributed to different bits and pieces here and there on other albums when he had a very crooked finger position that was impossible for the other person to do. The band quickly set out on a tour of Europe and the USA where, once again, the shows proved to be a success. Although the tour reached mainly clubs and was modestly budgeted at the time, King continued to experiment with stage effects and a more theatrical live presentation. Those tricks were clearly influenced by King's idol, Alice Cooper, as well as his longtime love of horror films. That tour, co-headlined with Megadeth, didn't allow for much expansion past the moderate pyro and props that King had used previously, but it laid a foundation for future live productions. In the following September, a limited edition picture disc single was released for the song "Halloween", containing "The Candle" and "The Lake" as B-Sides. "The Lake" was actually inspired by a movie in which a girl was standing at a lake, and then King imagined this big monster coming out of the lake. It was recorded during the recording sessions Of "Fatal Portrait", was only availlable on this release, which quickly came and disappeared during this month only, which makes of this single a true collector's item. It also made of "The Lake" probably the rarest King Diamond song at the time. Later, this song would be featured on "The Dark Sides" compilation and as a bonus track on various re-releases of "Fatal Portrait".

From December 1986 until February 1987, King Diamond returned to Sound Track Studio recording its second album. Because Michael had his appartment at only 10 minutes away from the studio, Andy and Mikkey lived at his home, so the band often came there for coffee and talk. They saw each other on a daily basis and it was very family-like, which we don't see often in this business. This time, the band used extensively for the first time Roberto Falcao, the same engineer who also worked on "Fatal Portrait". Roberto really clicked with the band; he knew exactly where the band was going and had the same kind of feelings. To help him creating moods in his playing, Andy sat in a little booth at the end of the recording room with just a lit candle. Also, as they never used a click track or metronome, some of the breaks and pauses were just plain guesswork; Mikkey played it all by just pure feel and did it all by purpose so you can feel the live feel.

With this album, "Abigail", King pushed the idea of concept songs one step further as this album had to be the first of a long serie of concept albums, which was also the first time that somebody made a concept album with a horror story. King wanted to make concept albums as far back as the Mercyful Fate days, but it just didn't seem to fit into the band style back then as the music wasn't theatrical enough, so King began with those five songs on "Fatal Portrait", and then he just took it all the way with "Abigail". The original idea of this story came to King in a very strange way; one night, at about 2:00am, he woke up during a thunderstorm when suddenly, so many ideas came to him that he started to write it all down. He decided he should go back and lie down but he couldn't do so as ideas just kept popping up out of his brain; the entire plot of the story and all the names; all that came to him within an hour-and-a-half, he had most of it done. He then had to get out of bed twice, and as he couldn’t fall back to sleep, he just had to get up, made a pot of coffee and just continued writing all the ideas down for a half hour to complete the story; 90% of the album was actually written during that night. This was the only time a story ever came to King in a dream, and also the only time a story grew so fast. Also, that story had some things that were inspired from what King's mother once told him. However, something didn't come from King; an American fan ever sent him a photo of a gravestone of a girl who died on the 7th day of July 1777, so King borrowed that date as well as the name of the girl's mother, who was called Abigail.

With concept albums like this one, the real hard part was to make the whole thing fit the songs and to find a way to say all he wanted to say. The music was already there, most of it, at the time that he had the idea for the album. Then he came up with the entire story and he wrote the remaining songs, just two or three, with some help from Michael, and also Andy, who really grew in the band with this album by writing some killer songs, such as "A Mansion In Darkness" and "The 7th Day Of July 1777", which really complemented King's style of writing very well. King had all the titles and they had to find out which songs needed how many lyrics; as some of the songs needed to be described in long lyrics, and some of the titles wouldn't need very many lyrics. They had to find out the right sequence in order to keep the story going from beginning to end all the way through. When they did finished the album, they had to turn it all over again and play the beginning again to get the finale. At this time, King considered "Abigail" to be the best album he has done lyrical-wise. With concept albums like this one, it really helped King to develop his voice much further, as suddenly there were so many different characters going through different emotions that he was trying to portray. That's where he started using different voices that he had no idea he had in him before, and that actually helped him a lot in developing all of his different kinds of vocals. Whatever the situation is, he really tries to put himself into that mood, and try to portray it when it goes down on tape. Even during the shows, King is so much into that mood that he becomes totally in trance. Whatever character he sings about, he becomes this character on stage, and then when he's offstage afterwards, it takes him at least 15 minutes, where he just sits, staring into the mirror getting back to himself again. That's a reason why usually, after a show, he just wants to relax and slowly sip his beer, he don't want to be bothered as he need some space of his own.

On the cover of the album, it had this horse carriage with a coffin in it. Even though that never happened in the story, the band decided to pick it anyway since it looked so good. On a personnal side for King, his father passed away during the making of the album, which was actually dedicated to him. After the release of "Abigail" on June 15th 1987, which is still considered by many fans as his best solo album ever and sold over 175,000 copies in the USA and was the first Roadrunner release to crack the Billboard Top 200 chart, King made his first promo video for the song "The Family Ghost". In the following month, a single for this song came out, which its B-Side was an "Abigail" cut-off called "Shrine". This song has been removed from the album because of its lyrics which didn't matched the album's lyrical content as it was not related to the whole "Abigail" story.

With the ever growing success of King Diamond, there was an increasing demand for the re-release of the hard-to-find first EP of Mercyful Fate. In October 1987, Roadrunner released the compilation "The Beginning", which contained the 4 songs of the first EP in addition of 4 other songs: the 3 songs recorded during the 1983 BBC session as well as "Black Masses", which was formerly only available on the "Black Funeral" single.

Shortly after that, right before the beginning of the European leg of the tour, Michael Denner left King Diamond to spend more time with his family as he couldn't spend a long time away from Denmark and needed some time to relax. He was replaced by the former Madison guitarist, another Swede, Michael Moon for the tour, but have then been soon ousted right after that for Pete Blakk, which Andy and Mikkey already knew as he previously was in Geisha too. After that, it was the turn of Timi Hansen to leave as his girlfriend said that if he didn't stop the music, she was gonna leave with the kid. He stopped the music, but six months later, she left with the kid anyway. The bassist who replaced Timi, Hal Patino, was a former member of another Danish band, Maltese Falcon. Even though Timi left the band, he would still spend some time with the band during the following year in studio for their upcoming album, teaching his bass lines to Hal. So from this point, King remained the only former Mercyful Fate member in the band. Then in early June 1988, the King Diamond band base moved to Los Angeles, California. The main reason for that move was to make it easier to do shows in the USA, as well as doing more interviews, etc.