Nelsen commonly played as a defender, and his professional career began in 1995. He notably captained the New Zealand national team and started his professional football career in his native country for Christchurch United. In 2001, he joined MLS side D.C. United and went on to play 81 times in the league, scoring 7 goals. In 2005, he moved to England with Premier League side Blackburn Rovers where he scored 8 times in 172 appearances. In 2012, he made a move to Tottenham Hotspur but only managed 5 appearances (scoring once in an FA Cup tie against Bolton Wanderers, the re-arranged match following Fabrice Muamba's cardiac arrest) before joining Queens Park Rangers in the summer of 2012. He agreed to return to MLS on 8 January 2013 by signing with Toronto FC as head coach. He was fired from Toronto FC on 31 August 2014.