Growing up in Store Merløse, Nielsen started playing for local side, MUK before being signed to the youth academy of FC Roskilde. After making the first team, he helped Roskilde reach promotion to the Danish second tier during the 2013–14 season.[2] He featured regularly for the club, ending the season with a staggering 34 goals, making him the topscorer of the division.[3][4]
On 7 July 2014, Nielsen joined Norwegian Eliteserien club Rosenborg.[3] After making only five appearances for Rosenborg in his first season, Nielsen joined AGF on 31 August 2015 on a one-year loan deal with the option for a permanent contract.[5][6] His time in Aarhus was marred by injuries and he only made four appearances during the season, scoring one goal.[4] At the end of the season, AGF did not pick up the buy option and he returned to Rosenborg.[7] Upon his return, Rosenborg-coach Kåre Ingebrigtsen expressed that, considering the club's strength at the winger position, it would be difficult for Nielsen to find his way into the squad, and that a solution had to be found.[8]
On 17 August 2016, Nielsen rejoined Danish 1st Division club FC Roskilde on a two-year contract, hoping to refind his old form after only making 15 total appearances in two seasons.[9][10] His time in Roskilde was a success, and in his final season in the club he scored 20 goals in 29 appearances.[4] His performances earned him the 2019 Danish 1st Division Player of the Year Award.[11]