Nelsen was signed by Blackburn Rovers on a free transfer in January 2005, shortly after the completion of the 2004 MLS season. In the summer of 2005, after just six months at the club, Nelsen signed a new three-year contract after impressing manager Mark Hughes and helping to turn Blackburn's defence into one of the toughest in the Premiership. Nelsen was successfully awarded a work permit on appeal after the initial application had been refused due to New Zealand being ranked outside the top seventy in the FIFA World Rankings.