Her son Dennis died of pneumonia in 1932, and her husband, Fred Terry, died in 1933. Neilson retired from the stage after a run as Josephine Popinot in the revival of the farce "Vintage Wine" by Seymour Hicks and Ashley Dukes at Daly's Theatre. In 1938, she was given a testimonial luncheon to mark her fiftieth anniversary as a performer. Neilson made a brief return to the stage in 1944 to play Lady Rutven in "The Widow of 40" by Heron Carvic. She wrote a memoir entitled, "This For Remembrance", which gives an account of her life in the theatre business. Her children with Terry, Phyllis and Dennis, were both actors.