Nielsen's feature film debut was the Jerry Lewis French film Par Où T'es Rentré? On T'a Pas Vu Sortir in 1984, followed by a role in the Italian mini-series Colletti Bianchi in 1988. She appeared in the Italian film Vacanze di Natale '91 (1991) and the French film Le Paradis Absolument (1993).
She moved to the United States in 1996 and made her first appearance in a major English-language film in 1997 as Christabella Andreoli in The Devil's Advocate, starring opposite Al Pacino and Keanu Reeves. This first minor breakthrough led to roles in the films Permanent Midnight (1998), Rushmore (1998), and Soldier (1998).
In 2000, Nielsen became known to worldwide audiences as Lucilla in Ridley Scott's internationally acclaimed Academy Award–winning epic Gladiator, starring opposite Russell Crowe and Joaquin Phoenix. Since then, she has starred in some notable American films, including Mission to Mars (2000), One Hour Photo (2002), The Hunted (2003), and Basic (2003). She also starred in the acclaimed French thriller Demonlover (2002), directed by Olivier Assayas.
In 2004, Nielsen made her Danish film debut in the drama, Brødre (also known as Brothers) for which she won the Danish Best Actress Award, the Bodil, as well as Best Actress at the San Sebastian International Film Festival. She was also nominated for Best Actress at the European Film Awards. In 2006, Nielsen appeared in several episodes of Law & Order: Special Victims Unit as Det. Dani Beck. She filled in for Mariska Hargitay who was on maternity leave at the time of filming.
