Sigurd was an Asgardian, leader of a mercenary troop that worked for Bor, long ago before Odin became king. He was one of the greatest heroes, called the Legend of Legends, the Blade of Bor, the First Hero.
His troop came to Bor's fort one day and was met by Bor's sword maidens, who were sworn to Bor in every way. They chafed at their bit, however, and wished greater freedom. They all slept with Sigurd and his soldiers, but Bor returned and cursed the women, turning them into the Disir, cannibalistic undead warriors.
Sigurd ran away and hid out of Earth, pretending to be human for centuries. The Disir wanted to hunt him down for revenge. Sigurd, however, was a pretty happy-go-lucky guy, and spent his time sleeping around with human women, enjoying himself as the Disir lived a tortured existence.
Eventually, the New Mutants happened to move in across the street from Sigurd, or Zig as he called himself. He could tell that Dani Moonstar was a Valkyrie, and also saw Leah stop by to give Warlock a dog. Thinking Leah was Hela, he freaked out and thought the Asgardians had found him. He put on his hidden armor, and the Disir were finally able to tell where he was. They appeared and attacked. The New Mutants and other Asgardians got involved, and Sigurd finally pulled out a scroll that he apparently got from Loki some time ago. He cast a spell that made all the Asgardians forget who they were, and live like ordinary humans.
Eventually the New Mutants were able to reverse this spell and told Bor that Sigurd was willing to marry the Disir, who had been captured. But Sigurd didn't really want to do it. Eventually all hell broke loose again, and the Disir attacked Bor. Loki got Bor to release the Disir from his curse, and they decided to work for Hela as her Valkyries.
Meanwhile, Sigurd got away, and set up a new life among humans, once again acting like a hero (a fireman, in this case) so he could sleep around with more humans. However, the Disir visited Sigurd, and told him that while they had wanted revenge for millenia, now they could wait. As Hela's Valkyries, they knew the time and place of his eventual death, and would meet him there. They left, and Sigurd sat on the floor, realizing that his fate was something he couldn't run away from.