Despite what a lot of people in the USA think, Dolph Lundgren
is from Sweden and not Russia as depicted in the movie.
Dolph came to the USA to study chemical engineering at MIT but got involved in modelling and acting. He was dating Grace Jones at the time and had appeared in the Bond movie briefly with her.
Rocky IV was one of his first auditions and virtually before he could even speak, he was dismissed for being too tall. Only six months later, after filmmakers had seen virtually everyone (8000 actors auditioned allegedly), was he recalled for another try.
Stallone remembers that originally, he was looking for a 'big hairy monster' to play the part but after failing to find what he was looking for, he decided to try a different tack.. The man-of-the future ..a kind of sci-fi engineered villain.. Which led back to Lundgren.
Stallone and Lundgren then trained together for 5 months.