Nielsen began his career with Norwich City at the age of 12. He was discovered after Norwich City's youth team traveled to Aalborg to take part in a local youth tournament but their only goalkeeper, Ash Harrison, fell ill and Nielsen was recruited as a replacement. He played for Norwich City until the age of 15 when he was offered professional terms but his mother refused permission for him to move permanently to England. Following this he was signed by local amateur club B 52/Aalborg FC. He played youth football for AaB Fodbold, before signing for English club Millwall F.C. in 1994. He did not play for the club and moved back to Denmark, settling in at AaB in 1995. He made his senior debut in 1996, quickly becoming the starting goalkeeper in AaB. Nielsen was one of the cornerstones of AaB, culminating in the 1998–99 Danish Superliga championship. Nielsen signed a contract with Leicester City on 4 June 2007. He joined via Martin Allen's agent, who claimed he was "another Peter Schmeichel". However, he was left in the reserve squad following the arrival of Hungarian goalkeeper Márton Fülöp. As a result, Nielsen revealed he planned to leave the club during the January transfer window, and was given the green light to do so on 14 November. He left the club on 22 January 2008 having his contract terminated by mutual consent without ever having played for the club. The next day he signed a 2½-year contract with Danish team Vejle Boldklub. After the 2009 season, Nielsen was "very close" to retiring Vejle Boldklub, was relegated from the Danish Superliga.
In February 2010, after having a conversation with and receiving a contract offer from Peter Vermes, Nielsen moved to Major League Soccer teamSporting Kansas City. After his first season, Nielsen stated that he would love to stay with the club another two or three years before considering retirement again. As reported on 15 December 2010, Nielsen signed a 1-year contract extension to stay with the club through at least the 2011 MLS season. He was sent off for a handball outside the box on 9 June 2011, in Sporting Kansas City's inaugural game at their new stadium, Livestrong Sporting Park. On 28 November 2011, Nielsen signed a contract extension with Kansas City through the 2013 season. The contract also included an option for the 2014 season. Nielsen received the 2012MLS Goalkeeper of the Year award. He broke the club record with 0.79 goals against average and helped the team finish first in their division. Nielsen retired following the 2013 season, which saw him win the MLS Cup. He played the MLS Cup with broken ribs.
International career
During a session with the Denmark national under-21 football team in 1999, Nielsen and U-21 teammates Allan Kierstein Jepsen and Peter Degn went to the Munkebjerg casino in Vejle at night to gamble. They were subsequently excluded from all national team practices, a ban that lasted several years. This earned Nielsen the nickname Casino-Jimmy.
