Before the season, Nelson was sent to the New York Yankees, and returned to Seattle as a free agent in. In that season he made the American League All-Star team. Nelson's All-Star selection was considered an innovative move by AL manager Joe Torre, as Nelson's role of middle relief was traditionally overlooked during All-Star selection. From 2001-2003, he formed the right side of Seattle's potent lefty/righty setup squad along with left-handed pitcher Arthur Rhodes. In 2001, he held opposing batters to a.136 batting average and a.199 slugging percentage, and.074/.110 once he had two strikes on them. Nelson was traded to the Yankees during the midseason. The Yankees lost to the Florida Marlins in the World Series and once again Nelson left the Yankees. In, Nelson appeared in 29 games for the Texas Rangers, going 1-2 with a 5.32 ERA. He was on the disabled list twice with an assortment of injuries to his right knee and right elbow. Before the season, the Seattle Mariners signed Nelson to a minor league contract, his third stint with the club. In the offseason, Nelson signed a minor-league contract with the St. Louis Cardinals, but was released before the season began. He was then picked up by the White Sox.
Pitching
Nelson was a respected slider specialist, much more effective against right-handed batters than against lefties. He was also known for his three-quarters sidearm delivery, and threw a cut 90-MPH fastball as well. During his Yankees tenure, he was known for faking a throw to third and then faking a throw to first in the same motion, so as to avoid balking. This was and still is referred to as "the old Jeff Nelson" by Yankees play-by-play broadcaster Michael Kay.
Operation
On June 8, 2006, Nelson announced that he would undergo surgery, to relieve a nerve in his right elbow, that was likely to mark the end of Nelson's active baseball career. Following the operation on his pitching elbow, on May 10, 2007, there was controversy when he tried to sell bone chips from his elbow, removed in the operation, on eBay who cancelled the auction. Nelson, whose daughters attended Bear Creek School, were going to give half the proceeds to the School and half to the Curtis Williams Foundation.
Broadcasting
Nelson has filled in on sports radioKJR-AM in Seattle and also worked as an analyst for MLB.com during the 2010 post-season. In 2016, Nelson joined Fox Sports' pre-game broadcast team for Miami Marlins. In 2019, Nelson served as a game analyst for the YES Network, calling occasional games for his former team. On July 12, 2019, Nelson made his broadcasting debut doing the YES network pregame.