In the 12th century, Danish accounts by Saxo Grammaticus and other Danish Latin chroniclers recorded a euhemerized account of his story. Compiled in Iceland in the 13th century, but based on much older Old Norse poetry, the Poetic Edda and the Prose Edda contain numerous references to the death of Baldr as both a great tragedy to the Æsir and a harbinger of Ragnarök.
According to Gylfaginning, a book of Snorri Sturluson's Prose Edda, Baldr's wife is Nanna and their son is Forseti. In Gylfaginning, Snorri relates that Baldr had the greatest ship ever built, named Hringhorni, and that there is no place more beautiful than his hall, Breidablik.
Jacob Grimm in his Teutonic Mythology (chapter 11) identifies Old Norse Baldr with the Old High German given name Paltar, and with Old English bealdor, baldor "lord, prince, king" (used always with a genitive plural, as in gumena baldor "lord of men", wigena baldor "lord of warriors", etc.) Old Norse shows this usage of the word as a honorific in a few cases, as in baldur î brynju (Sæm. 272b) and herbaldr (Sæm. 218b), both epithets of heroes in general.
Grimm traces the etymology of the name to *balþoz, whence Gothic balþs, Old English bald, Old High German pald, all meaning "bold, brave, audax".
But the interpretation of Baldr as "the brave god" may be secondary. Lithuanian baltas, Latvian balts signify "the white, the good", and Grimm speculates that the name may originate as a Baltic loan into Common Germanic. In Anglo-Saxon tradition, the son of Woden is called not Bealdor but Bældæg, Beldeg, which shows association with "day", possibly with Day personified as a deity which, Grimm points out, would agree with the meaning "shining one, white one, a god" derived from the meaning of Baltic baltas, further adducing Slavic Belobog and German Berhta
One of the two Merseburg Incantations names Balder, and it also mentions a figure named Phol. It has been theorized that Phol may therefore be another name for Baldr.
In the Poetic Edda the tale of Baldr's death is referred to rather than recounted at length. Among the visions which the Völva sees and describes in the prophecy known as the Völuspá is one of the fatal mistletoe, the birth of Váli and the weeping of Frigg (stanzas 31-33). Yet looking far into the future the Völva sees a brighter vision of a new world, when both Höðr and Baldr will come back (stanza 62). The Eddic poem Baldr's Dreams mentions that Baldr has bad dreams which the gods then discuss. Odin rides to Hel and awakens a seeress, who tells him Höðr will kill Baldr but Vali will avenge him (stanzas 9, 11).
Apart from this description Baldr is known primarily for the story of his death. His death is seen as the first in the chain of events which will ultimately lead to the destruction of the gods at Ragnarök. Baldr will be reborn in the new world, according to Völuspá.
He had a dream of his own death and his mother had the same dreams. Since dreams were usually prophetic, this depressed him, so his mother Frigg made every object on earth vow never to hurt Baldr. All objects made this vow except mistletoe. Frigg had thought it too unimportant and nonthreatening to bother asking it to make the vow (alternatively, it seemed too young to swear).
When Loki, the mischief-maker, heard of this, he made a magical spear from this plant (in some later versions, an arrow). He hurried to the place where the gods were indulging in their new pastime of hurling objects at Baldr, which would bounce off without harming him. Loki gave the spear to Baldr's brother, the blind god Höðr, who then inadvertently killed his brother with it (other versions suggest that Loki guided the arrow himself). For this act, Odin and the giantess Rindr gave birth to Váli who grew to adulthood within a day and slew Höðr.
Baldr was ceremonially burnt upon his ship, Hringhorni, the largest of all ships. As he was carried to the ship, Odin whispered in his ear. This was to be a key riddle asked by Odin (in disguise) of the giant Vafthrudnir (and which was, of course, unanswerable) in the poem Vafthrudnismal. The riddle also appears in the riddles of Gestumblindi in Hervarar saga.
The dwarf Litr was kicked by Thor into the funeral fire and burnt alive. Nanna, Baldr's wife, also threw herself on the funeral fire to await Ragnarök when she would be reunited with her husband (alternatively, she died of grief). Baldr's horse with all its trappings was also burned on the pyre. The ship was set to sea by Hyrrokin, a giantess, who came riding on a wolf and gave the ship such a push that fire flashed from the rollers and all the earth shook.
Upon Frigg's entreaties, delivered through the messenger Hermod, Hel promised to release Baldr from the underworld if all objects alive and dead would weep for him. All did, except a giantess, Þökk, who refused to mourn the slain god. Thus Baldr had to remain in the underworld, not to emerge until after Ragnarök, when he and his brother Höðr would be reconciled and rule the new earth together with Thor's sons.
When the gods discovered that the giantess Þökk had been Loki in disguise, they hunted him down and bound him to three rocks. Then they tied a serpent above him, the venom of which dripped onto his face. His wife Sigyn gathered the venom in a bowl, but from time to time she had to turn away to empty it, at which point the poison would drip onto Loki, who writhed in pain, thus causing earthquakes. He would free himself, however, in time to attack the gods at Ragnarök.
Writing at about the end of the 12th century, the Danish historian Saxo Grammaticus tells the story of Baldr (recorded as Balderus) in a form which professes to be historical. According to him, Balderus and Høtherus were rival suitors for the hand of Nanna, daughter of Gewar, King of Norway. Balderus was a demigod and common steel could not wound his sacred body. The two rivals encountered each other in a terrific battle. Though Odin and Thor and the rest of the gods fought for Balderus, he was defeated and fled away, and Høtherus married the princess.
Nevertheless Balderus took heart of grace and again met Høtherus in a stricken field. But he fared even worse than before. Høtherus dealt him a deadly wound with a magic sword, named Mistletoe, which he had received from Miming, the satyr of the woods; after lingering three days in pain Balderus died of his injury and was buried with royal honours in a barrow.